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) = 1where

w(j) >= 0

j=1..n

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

Keywords:

Markowitz |