March 2010
Intermediate to advanced
238 pages
5h 59m
English
Content preview from Portfolio Optimization
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Sec. 2.1 The Efficient Frontier 31
and
α
1
= µ
′
h
1
= (1.1, 1.2, 1.3)
−3.6170135
1.2765912
2.3404223
= 0.595744680851.
From (2.12) we obtain
β
0
= h
′
0
Σh
0
= (0.7446808, 0.1489362, 0.1063830)
×
10
−2
0 0
0 5 × 10
−2
0
0 0 7 × 10
−2
0.7446808
0.1489362
0.1063830
= 0.007446808511,
β
1
= h
′
0
Σh
1
= (0.7446808, 0.1489362, 0.1063830)
×
10
−2
0 0
0 5 × 10
−2
0
0 0 7 × 10
−2
−3.6170135
1.2765912
2.3404223
= 0.0,
β
2
= h
′
1
Σh
1
= (−3.6170135, 1.276591 2 , 2 .3 404223)
×
10
−2
0 0
0 5 × 10
−2
0
0 0 7 × 10
−2
−3.6170135
1.2765912
2.3404223
= 0.595744680851.
Note from these results that β
1
= 0 and β
2
= α
1
which computationally
verifies (2.15) and (2.17), respectively.
From (2.18) the equation of the
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