We assume that the elements rij of r are all positive

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Unformatted text preview: data that can be found in the file simple_portfolio_data.m. 104 (a) Find minimum-risk portfolios with the same expected return as the uniform portfolio (x = (1/n)1), with risk measured by portfolio return variance, and the following portfolio constraints (in addition to 1T x = 1): • No (additional) constraints. • Long-only: x 0. • Limit on total short position: 1T (x− ) ≤ 0.5, where (x− )i = max{−xi , 0}. Compare the optimal risk in these portfolios with each other and the uniform portfolio. (b) Plot the optimal risk-return trade-off curves for the long-only portfolio, and for total shortposition limited to 0.5, in the same figure. Follow the style of figure 4.12 (top), with horizontal axis showing standard deviation of portfolio return, and vertical axis showing mean return. 13.4 Bounding portfolio risk with incomplete covariance information. Consider the following instance of the problem described in §4.6, on p171–173 of Convex Optimization. We suppose that Σii , which are the...
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This note was uploaded on 09/10/2013 for the course C 231 taught by Professor F.borrelli during the Fall '13 term at Berkeley.

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