Re: [ojAlgo-user] Markowitz (portfolio maximum return )

[Anders P. <an...@op...>]

Why is 9.00% portfolio return the correct result? When/where/how did you specify that you want the maximum return portfolio?

Use setRiskAvesrion(Number), experiment with different values.



On 17 jan 2014, at 11:09, Cristian Bissattini <cri...@ho...> wrote:

>  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
> 
>  
>  
> ------------------------------------------------------------------------------
> CenturyLink Cloud: The Leader in Enterprise Cloud Services.
> Learn Why More Businesses Are Choosing CenturyLink Cloud For
> Critical Workloads, Development Environments & Everything In Between.
> Get a Quote or Start a Free Trial Today. 
> http://pubads.g.doubleclick.net/gampad/clk?id=119420431&iu=/4140/ostg.clktrk_______________________________________________
> ojAlgo-user mailing list
> ojA...@li...
> https://lists.sourceforge.net/lists/listinfo/ojalgo-user