# Harry Markowitz received the 1990 Nobel Prize for his path-breaking work in portfolio optimization. One version of

## Question:

The variance of the portfolio return is

See Section 2 in Chapter 3 for a review of the mean and variance concept. Using the scenario return data given in Table 12.2, formulate the Markowitz mean-variance model. The objective function is the variance of the portfolio and should be minimized. Assume that the required return on the portfolio is 10%. There is also a unity constraint that all of the money must be invested in mutual funds. Solve this mean-variance model using either LINGO or Excelsolver.

Expected ReturnThe expected return is the profit or loss an investor anticipates on an investment that has known or anticipated rates of return (RoR). It is calculated by multiplying potential outcomes by the chances of them occurring and then totaling these... Portfolio

A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...

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## Quantitative Methods For Business

**ISBN:** 148

11th Edition

**Authors:** David Anderson, Dennis Sweeney, Thomas Williams, Jeffrey Cam