
36 Introduction to Linear Optimization and Extensions with MATLAB
R
Formulate this problem as a linear program and solve in MATLAB.
Exercise 1.19
How can you solve a max flow problem as a minimum-cost flow problem?
1.5 Computational Project
(Portfolio Investment Problem)
This project considers the mean variance portfolio optimization problem
in Example 1.11 and considers the use of linear programming via MATLAB in
a non-trivial (larger) application. We wish to compute optimal mean-variance
portfolios. That is, we wish to generate portfolios x that result from solving
the model
minimize
P
n
i=1
P
n
j=1
σ
ij
x
i
x
j
subject to
P
n
i=1
µ
i
x
i
= R
P
n
i=1
x
i
= 1
x
i
≥ 0 i = 1, ..., n