How to calculate the weight of a mean variance portfolio

2 次查看（过去 30 天）
gsourop
gsourop 2018-3-30
Hi everyone, I want to create a mean-variance portfolio of 6 risky assets and 1 risk free. The investor has a target portfolio volatility s*= 0.10. Moreover, the weights of each asset of the portfolio should be constrained between -1<w<2. Hence, the investor wants to maximize the portfolio's expected return E(r_p) = w'E(r) + (1-w'i)rf, subject to the constraint (s*)^2= w'Sw, where w is a 6x1 vector, E(r) is a 6x1 vector of returns, i = ones(6,1), and rf is a scalar, S is the variance-covariance matrix of the risky assets. Does anyone know how to solve this problem with the Financial Toolbox? The manual is helpful but doesn't go through the algebra to know exactly what you are doing.

请先登录，再回答此问题。

回答（0 个）

类别

在 Help Center 和 File Exchange 中查找有关 Portfolio Optimization and Asset Allocation 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by