Portfolio Optimization

Sec. 9.3 Computer Results 211

9.3 Computer Results

Figure 9.2 shows the MATLAB code which uses PQPSolver to solve

Example 9.2. Other than lines 3 to 8 which define the data, this program

is identical to Example8p1 shown in Figure 8.1. The reader can see the

discussion of this program in Section 8.2 prior to Figure 8.1.

1 %E xample9p2.m

2 % 3 asset problem which has a kink in the e fficient

3 fr ontier

4 A = [ 1 0 0; 0 1 0; 0 0 1; 0 1 1; 1 1 1 ]

5 b = [ 0.8 0.25 0.8 0.85 1 ]'

6 mu = [ 1.05 1.08 1.1 ]'

7 Si gma = [1 0 0; 0 2 0; 0 0 3]/100.

8 n = 3; m = 4; q = 1;

9 x0 = [0.2 0.2 0.6 ]';

10 checkdata(Sigma,1.e−6);

11 checkconstraints(A,b,x0,m,q,n);

12 [H0j,H1j,U0j,U1j,tvec,numint] ...