Skip to Main Content
Introduction to Linear Optimization and Extensions with MATLAB®
book

Introduction to Linear Optimization and Extensions with MATLAB®

by Roy H. Kwon
September 2013
Intermediate to advanced content levelIntermediate to advanced
362 pages
8h 44m
English
CRC Press
Content preview from Introduction to Linear Optimization and Extensions with MATLAB®
254 Introduction to Linear Optimization and Extensions with MATLAB
R
for the investor. To this end, the investor specifies a constraint that forces her
portfolio selection to achieve at least a certain amount of expected return R.
That is, the investor enforces the constraint
E(r
p
) =
n
P
i=1
µ
i
x
i
R.
Markowitz Portfolio Selection Model
Now all of the components are in place for specification of the Markowitz
portfolio model, also known as mean-variance optimization (MVO). The most
well-known version of the MVO model has the objective of minimizing the
variance of the portfolio and is given as follows
minimize
n
P
i=1
n
P
j=1
σ
ij
x
i
x
j
subject to
n
P
i=1
µ
i
x
i
R
n
P
i=1
x
i
= 1 ...
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Start your free trial

You might also like

MATLAB Optimization Techniques

MATLAB Optimization Techniques

César Pérez López
Practical Financial Optimization: A Library of GAMS Models

Practical Financial Optimization: A Library of GAMS Models

Stavros Zenios, Andrea Consiglio, Soren S Nielson

Publisher Resources

ISBN: 9781439862636