Find minimum-risk portfolios with the same expected return, Ask an Expert

Engineering

We consider a portfolio optimization problem as described on pages 155 and 185-186 of the book, with data that can be found in the file simple_portfolio_data.m.

Find minimum-risk portfolios with the same expected return as the uniform portfolio x=(1/n)1, with risk measured by portfolio return standard deviation, and the following portfolio constraints (in addition to 1Tx=1).

What is the risk of the uniform portfolio?

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Computer Engineering, Engineering

Category:- Computer Engineering
Reference No.:- M984823

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