[ojAlgo-user] FW: Markowitz model

[Cristian B. <cri...@ho...>]

I have also lower limit (10%) and upper limit (40%) for each asse class.
 
From: cri...@ho...
To: oja...@li...
Subject: Markowitz model
Date: Tue, 3 Sep 2013 09:55:30 +0200




Dear All,
 
I found out a possible bug in Markowitz model with this asset allocation:
 
Asset 1: Expected return 4.51%, SD 4.25%
Asset 2: Expected return 9.12%, SD 32.18%
Asset 3: Expected return 9.00%, SD 47.17%
Asset 4: Expected return 7.71%, SD 28.24%
Asset 5: Expected return 6.73%, SD 25.49%
Asset 6: Expected return 7.21%, SD 27.25%
Asset 7: Expected return 9.55%, SD 31.09%
 
Correlation Matrix is positive defined:
 
-0.3511
-0.2413   0.8849
-0.3264   0.8656   0.7288
-0.3762   0.9433   0.8205   0.9320
-0.3624   0.9460   0.8408   0.9183   0.9907
-0.3576   0.9938   0.8556   0.8771   0.9486   0.9413
 
The problem is when the target return is 6.81%
 
Could you give me your feedback?
 
Regards,
Cristian