ConstrainedQuadraticPortfolioOptimiser
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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 meanvariance 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

Illustrative spreadsheet

Other Portfolio optimisation functions

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