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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Related Book For
Practical Management Science
ISBN: 9781111531317
4th Edition
Authors: Wayne L. Winston, S. Christian Albright
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