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Function Description

Returns a vector  (and three further values indicating the total asset weight, the return and the risk of the portfolio in that order) that maximises the following investor utility function subject to lower bound constraints of the form  and  further (linear) constraints of the form  and .



Here  are the portfolio weights (so typically we impose at least the following constraint ),  is the benchmark (or ‘minimum risk’ portfolio),  is a vector of assumed returns on each asset and  is the covariance matrix (, where  is the vector of risks on each asset class, here assumed to be characterised by their volatilities, as this approach is merely a mean-variance one, and  their correlation matrix).


Constraints are coded -1 for , 0 for  and +1 for . For example, if ,  and the additional linear constraints are  and  then:



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-          Output type / Parameter details

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