ConstrainedQuadraticPortfolioOptimiser
[this page | pdf | references | back links]
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:
NAVIGATION LINKS
Contents | Prev | Next
Links to:
-
Interactively run function
-
Interactive instructions
-
Example calculation
-
Output type / Parameter details
-
Illustrative spreadsheet
-
Other Portfolio optimisation functions
-
Computation units used
Note: If you use any Nematrian web service either programmatically or interactively then you will be deemed to have agreed to the Nematrian website License Agreement