bv_cvxbook_extra_exercises

You can assume these matrices are given or known the

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Unformatted text preview: e index (within some error tolerance). Acquiring (and rebalancing) the sparse tracking portfolio will incur smaller transactions costs than trading in the full index. (a) Propose a (simple) heuristic method for finding a sparse weight vector w that satisfies E ≤ 0.10. (b) Carry out your method on the problem instance given in sparse_idx_track_data.m. Give card(w), the number of nonzero entries in w. (To evaluate card(w), use sum(abs(w)>0.01), which treats weight components smaller than 0.01 as zero.) (You might want to compare the index weights and the weights you find by typing [c w]. No need to print or turn in the resulting output, though.) 13.16 Option price bounds. In this problem we use the methods and results of example 5.10 to give bounds on the arbitrage-free price of an option. (See exercise 5.38 for a simple version of option pricing.) We will use all the notation and definitions from Example 5.10. We consider here options on an underlying asset (such as a stock); these have a payoff...
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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 University of California, Berkeley.

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