# Reconsider the portfolio optimization problem considered in Section 8.5, where the goal was to select the portfolio that beat the

## Question:

Reconsider the portfolio optimization problem considered in Section 8.5, where the goal was to select the portfolio that beat the market for the largest number of quarters over the last six years.

a. Using the naive solution (20 percent in each stock) as a starting point, apply Evolutionary Solver to optimize the portfolio again when considering the data for the first three years only (Q1 2006 through Q4 2008).

b. For how many quarters does this same portfolio beat the market for the next three years (Q1 2009 through Q4 2011)?

c. Comment on the results from parts a and b.

PortfolioA 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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## Introduction to Management Science A Modeling and Cases Studies Approach with Spreadsheets

**ISBN:** 978-0078024061

5th edition

**Authors:** Frederick S. Hillier, Mark S. Hillier

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