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

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

Because it is the return of a portfolio composed by 100% Asset B and 0% Asset A. All other weights combination generate lower return.
 
> From: an...@op...
> Date: Fri, 17 Jan 2014 12:14:17 +0100
> To: oja...@li...
> Subject: Re: [ojAlgo-user] Markowitz (portfolio maximum return )
> 
> 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
> > 
> >  
> >  
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