variance of portfolio as objective function
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Sameer
el 19 de Mayo de 2014
Respondida: Alejandra Pena-Ordieres
el 10 de Sept. de 2024 a las 17:46
how would be able to set up the variance of a portfolio as an seperate objective function?
I have the data read in from excel already
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Image Analyst
el 19 de Mayo de 2014
What do you mean? There already is a built in function for variance called var(). Why do you need to make your own function for that?
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Alejandra Pena-Ordieres
el 10 de Sept. de 2024 a las 17:46
To set up the variance as the objective, you can use estimateFrontierLimits with the optional input 'min' or estimateFrontierByReturn.
estimateFrontierLimits(p,'min') computes the minimum variance portfolio without any return constraints. estimateFrontierByReturn(p,targetReturn) computes the minimum variance portfolio that achieves a return greater than or equal to targetReturn.
See Obtain Range of Risks and Returns and Find a Portfolio with a Targeted Return and Targeted Risk for an example.
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