Referring to the portfolio optimization example from Chapter 7 (see Example 7.9), we constructed the efficient frontier
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Referring to the portfolio optimization example from Chapter 7 (see Example 7.9), we constructed the efficient frontier by minimizing portfolio variance, with a lower bound constraint on the expected return. Do it the opposite way. That is, calculate the efficient frontier by maximizing the expected return, with an upper bound on the portfolio variance. Do you get the same results as in Example 7.9?
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Related Book For
Practical Management Science, Revised
ISBN: 9781118373439
3rd Edition
Authors: Wayne L Winston, S. Christian Albright
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