The selection of a best element from some set of available alternatives. Typically consists of maximizing or minimizing a real function by systematically choosing input values from within an allowed set and computing the value of the function.

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How to compute the Coskewness Matrix in excel?

I'm triyng to compare two portfolio based on same sample of equities returns. And i want to know how to compute the coskewness matrix without using VBA, only in excel. Even a simple example with three ...
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22 views

scale alpha forecasts to align with covariance matrix

I have a set of monthly alpha forecasts and my covariance matrix has been annualized. I would like to do a mean variance optimization with a linear tcost penalty term. How do I rescale my alpha ...
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Calculating the optimal portfolio for an investor with quadratic utility

The problem is from Asset Pricing and Portfolio Theory by Back and can be found here. The relevant info from section 2.5 can be found here. Given that we have the Expected value and the variance of ...
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139 views

constrained portfolio optimization by fmincon

I am working through this paper, http://www.nber.org/papers/w8922.pdf I want to implement the portfolio weight constraints see page 6-7. Here is the brief overview of my problem: Let ...
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46 views

Asset Liability Management Test Topic Interpretation

I will write a test based on Excel and one of the topics is "The Asset Liability related analysis: including the input assumptions generation, constraints, portfolio optimization analysis and results ...
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14 views

dynamic programming with serially independent returns

Book suggests that "asset returns are assumed to be serially independent, so wealth is a single state connecting one period to the next". I understand path dependency is lost in case of serial ...
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410 views

Calculating the efficient frontier from expected returns and SD

I'm trying to calculate the efficient frontier (and the optimal portfolio at the Sharpe ratio) given two vectors for a portfolio: (1) expected returns and (2) historical standard deviations. I would ...
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58 views

Transform MPT optimization problem

I am trying to teach myself about MPT and optimization. I understand that MPT solutions can be found using three equivalent optimization problems: Minimizing variance for given return limit ...
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Approaches to check/validate the output of an optimization algorithm

Let's say we want to optimize the a function $f(x_1,\dots, x_n)$ with $(x_1, \dots , x_n) \in \mathbb{D}^n$. For the sake of simplicity let $\mathbb{D}^n$ be the unit sphere. We chose an optimization ...
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Quadratic Programming Problem

How I can solve the following Quadratic Programming Problem: Min[X’VX+X’GX] In this case, X is a list of coefficient to be solved for, V is a square matrix of Price returns, and G is a square matrix ...