[ojAlgo-user] Markowitz (portfolio maximum return )

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

 




I have a
problem with portfolio maximum return in Markowitz algorithm.

 

Considering a simple portfolio composed by two asset class:

 

Asset A: Return
8.50% and volatility 20.00%

Asset B: Return
9.00% and volatility 30.00%

 

Correlation
coefficient=0 (matrix positive defined)

 

I obtained a portfolio maximum return equal to 8.85% instead
of 9.00% (100% Asset B)

 

In fact, if I set the return of Asset A to 8.00% (instead of 8.50%), the
result is correct (portfolio maximum return is 9.00%)

 

Could you give me more info?


Best Regards,


Cristian