An investor is developing a portfolio of stocks. She has identified 3 stocks in which to invest. She wants to earn at least 11% return but with minimum risk. The average return for the stocks is: Annual Return A B Average 10.72% 10.68% 11.87% The covariance matrix for the stocks is: A A 0.00009 -0.00009 -0.00011 В -0.00009 0.00032 -0.00007 -0.00011 -0.00007 0.00122 Formulate the NLP for this problem by writing the decision variables, objective function and constraints.
An investor is developing a portfolio of stocks. She has identified 3 stocks in which to invest. She wants to earn at least 11% return but with minimum risk. The average return for the stocks is: Annual Return A B Average 10.72% 10.68% 11.87% The covariance matrix for the stocks is: A A 0.00009 -0.00009 -0.00011 В -0.00009 0.00032 -0.00007 -0.00011 -0.00007 0.00122 Formulate the NLP for this problem by writing the decision variables, objective function and constraints.
Advanced Engineering Mathematics
10th Edition
ISBN:9780470458365
Author:Erwin Kreyszig
Publisher:Erwin Kreyszig
Chapter2: Second-order Linear Odes
Section: Chapter Questions
Problem 1RQ
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
Transcribed Image Text:An investor is developing a portfolio of stocks. She has identified 3 stocks in which
to invest. She wants to earn at least 11% return but with minimum risk. The average
return for the stocks is:
Annual Return
A
Average
10.72%
10.68%
11.87%
The covariance matrix for the stocks is:
A
A
0.00009
-0.00009
-0.00011
-0.00009
0.00032
-0.00007
-0.00011
-0.00007
0.00122
Formulate the NLP for this problem by writing the decision variables, objective
function and constraints.
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