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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 riskfree 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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This note was uploaded on 06/02/2010 for the course IEOR IEOR E4007 taught by Professor Optimizationmodelsandmethods during the Summer '09 term at Columbia.
 Summer '09
 OptimizationModelsandMethods
 Optimization

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