The portfolio optimization example from Chapter 7 (see Example 7.9) found the efficient frontier by minimizing portfolio

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The portfolio optimization example from Chapter 7 (see Example 7.9) found 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 standard deviation.

Do you get the same results as in Example 7.9?

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Practical Management Science

ISBN: 9781111531317

4th Edition

Authors: Wayne L. Winston, S. Christian Albright

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