ORIE 4300: Optimization Modeling
Prof. Jim Renegar
224 Rhodes Hall
renegar@cornell.edu
Jiayi Guo (TA)
jg826@cornell.edu
ORIE 4300: Topics to be Covered
1. Markowitz Portfolio Theory (and Modeling) I. Portfolio basics II. Maximizing the mean vs. minimizing

Markowitz Mean-Variance Portfolio Optimization The model has only one time period. Assets: i = 1, . . . , n i : expected return of asset i ij : covariance of returns between assets i and j
Perhaps the simplest (but certainly not the best) choices for i an

Here we determine how to compute the Sharpe portfolio when the interest rate is 0 p and risk is measured by xT V x We want to solve
max s.t.
T x 0 p xT V x
as before, x(R) denotes the optimal solution of
optimal risk(R) = f (x(R)
minx s.t. f (x) T x R eT

First Project
Due at 10a, Friday, March 15 No proposal is required, but I encourage each team to stop by my o ce, tell me its plans, and get my feedback. Each team must work alone, getting help only from me and Jiyai.
It's sooo easy in reading project rep