Portfolio selection problem, MATLAB Programming

An individual with $10,000 to invest has identi?ed three mutual funds as attractive opportunities. Over the last ?ve years, dividend payments (in cents per dollar invested) have been as shown in Table 5, and the individual assumes that these payments are indicative of what can be expected in the future. This particular individual has two requirements:

(1) the combined expected yearly return from his/her investments must be no less than $800 (the amount $10,000 would earn at 8 percent interest) and (2) the variance in future, yearly, dividend payments should be as small as possible. How much should this individual invest in each fund to achieve these requirements?

[Hint: Let xi(i =1, 2, 3) designate the amount of funds to be allocated to investment i, and let xik denote the return per dollar invested from investment i during the kth time period in the past (k =1, 2,..., 5). If the past history of payments is indicative of future performance, the expected return per dollar from investment i is

2116_Portfolio Selection Problem..png

(b) Set up a quadratic optimization problem that will determine the best investment mix.

(c) Solve the problem using the MATLAB quadratic optimization routine quadprog. Interpret your results.

Posted Date: 3/9/2013 12:41:28 AM | Location : United States







Related Discussions:- Portfolio selection problem, Assignment Help, Ask Question on Portfolio selection problem, Get Answer, Expert's Help, Portfolio selection problem Discussions

Write discussion on Portfolio selection problem
Your posts are moderated
Related Questions
As shown in Figure 1, Ecosystem carbon (C) cycles in a tropical forest can be modeled using three "compartments":  aboveground (AG), belowground (BG), and soil organic matters (SOM

Matlab Programming Vector Algebra : Create a program package for calculation of distances and intersections of lines and planes. Plot the results in a graphical representation

how to wriet program for batch reactor

i want matlab programming on johnson''s sequencing rule

String Manipulation: The string in MATLAB software consists of any number of characters and is contained in the single quotes. Actually, strings are considered as vectors in w

Customizing a Plot: Line Types, Color, Marker Types: Plots can be completed in the Command Window, if they are really simple. Though, at many times it is desirable to customiz

Write a function called threshold2 (in a file called 'threshold2.m'). The function takes an arbitrary number of input variables. The first input variable, t, is required and is the

Linspace function: Likewise, the linspace function generates a linearly spaced vector; linspace(x,y,n) generates a vector with n values in the inclusive range from x to y. For

i want the MATLAB code for properties of refrigerant R134a, Pentane and VCR Refrigeration cycle. Thanks

Damped free vibrations can be modelled by considering a block of mass m that is attached to a spring and a dashpot as shown. From Newton's second law of motion, the displac