Homework answers / question archive /  Use the data in (b), write as AMPL code to find the minimum ADR portfolio in which rs Is delta, where delta is a given lower bound

 Use the data in (b), write as AMPL code to find the minimum ADR portfolio in which rs Is delta, where delta is a given lower bound

Statistics

Share With

 Use the data in (b), write as AMPL code to find the minimum ADR portfolio in which rs Is delta, where delta is a given lower bound. The values of n, m, R,p and delta should be only specified M. the data file. (b) (10 points) Given the return matrix (5.51 9.80 2.56 —1.29 0.61 0.16 5.46 3.60 —1.69 —1.70 —1.30 0.30 and probabilities p; = 0.25 for i = 1,2,3, 4, compute the efficient frontier by increasing delta from 0 in increments of 0.2. Increase delta until the LP problem 0 infeasible. (This matrix is scaled for convenience, so the actual values should be 0.551, 0.480, etc.) Hint: this can be done very efficiently as follows: • specify "delta" as a parameter: declare it in the model file, and put its starting value 0 into the data file. • After solving the LP with AMPL, you can reset delta as — let delta := 0.2; from the AMPL command line, and solve it again. Then "let delta := 0.4;", etc. This way you do not have to "reset data", etc. List in a table the pairs (delta, minimum ADO). (c) (5 points) Write down the optimal investment x when delta is 0, when delta is 1, and when delta is 2. Which investment is more diversified, i.e., which is more evenly spread among the stocks?