The LMtestQP.m Model

The Markowitz Portfolio Selection Problem

View the model
Download the model

Maximize z = a*r'*w - (1-a)w'*Q*w
subject to

w(1) + ... + w(n) = 1
w(j) >= 0
a: risk factor, scalar between 0 and 1
r(j) : return on asset j
Q(i,j): covariance between the returns of i^th and j^th assets.
w(j) : proportion of total budget invested on asset j


Markowitz |