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Homework 05 - IEOR E4007 G Iyengar April 13th 2009 Homework...

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IEOR E4007 G. Iyengar April 13th, 2009 Homework 5 Due: April 26th, 2009 1. Exercise 8.5 in Optimization Methods in Finance 2. Exercise 8.8 in Optimization Methods in Finance 3. Efficient frontier Consider the portfolio selection problem described in Exercise 8.8. Construct the efficient frontier for this problem assuming that there is no risk-free asset in the market. Compute r min and σ 2 min . 4. Exercise 13.7 from Optimization for Finance 5. Exercise 14.3 from Optimization for Finance 6. Target planning In a youth contest, Joe will shoot a total of ten shots at four different targets. The contest has been designed so that Joe will not know whether or not he hits any target
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