Question
Three stocks are being considered to form your portfolio. Formulate a non-linear program that will find the portfolio that minimizes risk. The expected (average) daily
Three stocks are being considered to form your portfolio. Formulate a non-linear program that will find the portfolio that minimizes risk.
The expected (average) daily return is rT = [0.0023, 0.0013, 0.0004]
with covariance matrix
Q = 0.0003 0.0001 0.0001
0.0001 0.0016 0.0002
0.0001 0.0002 0.004
Find a portfolio with an expected return of $0.002 and minimal variance.
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Engineering Economy
Authors: William G. Sullivan, Elin M. Wicks, C. Patrick Koelling
15th edition
132554909, 978-0132554909
