Portfolio Optimization

Sec. 7.3 Computer Results 159

7.3 Computer Results

Figure 7.2 shows the progr am Example7p1.m which was used to con-

struct the values given in Table 7.1. Lines 2–9 set up the problem data

for Example 7.1 a nd check it with checkdata and checkconstraints.

1 %E xample7p1.m

2 A = [ −1 0 0; 0 −1 0; 0 0 −1; 1 1 1 ];

3 b = [ 0 0 0 1 ]';

4 mu = [ 1.05 1.08 1.1 ]';

5 Bi gC = [1 0 0; 0 2 0; 0 0 3]/100.;

6 n = 3; m = 3; q = 1;

7 x0 = [0.2 0.2 0.6 ]';

8 ch eckdata(BigC,1.e−6);

9 ch eckconstraint s(A,b,x0,m,q,n);

10 tlow = .0; tinc = 0.01; thigh = 2.0

11 ii = 0;

12 for t = tlow:tinc:thigh;

13 c = − t

*

mu;

14 [minvalue,xj,Kj,uj] = QPSolver(A,b,BigC,c,n,m,q,x0);

15 t

16 xjprint ...