March 2010
Intermediate to advanced
238 pages
5h 59m
English
Content preview from Portfolio Optimization
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Sec. 7.1 Linear Inequality Constraints: An Example 149
TABLE 7.2 Opt ima l, Piecewise Linear Solution for Example 7.1
and Associated Efficient Frontier Parameters
j 0 1 2
t
j
0 0.3158 1.5
K
j
{4} {4, 1} {4, 1, 2}
h
00
h
01
h
02
0.5455 0.0 0.0
h
0j
0.2727 0.6 0.0
0.1818 0.4 1.0
h
10
h
11
h
12
−1.7273 0.0 0.0
h
1j
0.6364 −0.4 0.0
1.0909 0.4 0.0
u
00
u
01
u
02
0.0 −0.012 −0.03
u
0j
0.0 0.0 −0.03
0.0 0.0 0.0
−0.0055 −0.012 −0.03
u
10
u
11
u
12
0.0 0.038 0.05
u
1j
0.0 0.0 0.02
0.0 0.0 0.0
1.0673 1.088 1.1
α
0j
1.0673 1.088 1.1
α
1j
0.0736 0.008 0.0
β
0j
0.0055 0.012 0.0 3
β
2j
0.0736 0.008 0.0
the second f or the next interval (t
1
≤ t ≤ t
2
). The two “pieces” of the
efficient frontier meet at t = t
1
. Although the two
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