Portfolio Optimization

Sec. 8.2 Computer Results 185

interval. These are

Alpha0 = [µ

′

h

00

, µ

′

h

01

, . . . , µ

′

h

0N−1

] ,

Alpha1 = [µ

′

h

10

, µh

11

, . . . , µ

′

h

1N−1

] ,

Beta0 =



h

00

Σh

00

, h

01

Σh

01

, . . . , h

′

0,N−1

Σh

0,N−1



,

Beta1 =



h

10

Σh

10

, h

11

Σh

11

, . . . , h

′

1,N−1

Σh

1,N−1



.

These vectors are printed in lines 25 to 28.

Finally, lines 29 through 3 6 compute the mean and variance at the

end of each interval and then print them.

Figure 8.2 shows the file PQPSolver.m. The input arguments are A,

b, m, n, q, x0, Sigma and mu which a ll have their usual meanings. The

output arguments H0j, H1j, U0j, U1j, tvec and numint have meanings

as described for Example 8.1 (see Figure 8.1). Line 5 initializes