2
votes
1answer
34 views

Why is that a risk averse consumer buys the optimum insurance when there is actuarially fair insurance?

I've asked the same question at the Quantitative Finance StackExchange. Consider the following example: "As a risk-averse consumer, you would want to choose a value of x so as to maximize expected ...
0
votes
0answers
64 views

Optimal division of money between a loan and a down payment

I'm in the market for a car. I have no credit and was hoping to build some with a loan towards a car. I don't want to develop bad credit, so I plan to take out a loan that I know I can pay off with ...
1
vote
2answers
23 views

In this situation, how to decrease the payout amount based on the “weighed” constituent parts?

Couldn't think of a better way to explain it in the title, my bad. This is a problem I'm running into in a programming project. Here's the situation: Say a partner is due to be paid $1000 for ...
2
votes
2answers
135 views

Are there constraint problem calculators?

So I just remembered Lincoln Logs exist, so I found ten giant sets of them on ebay for Buy It Now, and I'm trying to decide what combination of purchases gives me the most logs for the least money if ...
0
votes
2answers
2k views

Is it possible to calculate weights of a portfolio with negative values?

Sorry in advance if this question is either too basic or really dumb, but I've been researching this and am a bit confused. I'm trying to help my niece with a question she has and the gist of it is ...
1
vote
0answers
76 views

Portfolio optimization - problem with a proof

I'm trying to proof Proposition 1 in this Paper about Markowitz Portfolio Opitimization on page 6/7 but I can't figure out how to do this. The author wrote "The proof of Proposition 1 can be found ...
1
vote
1answer
2k views

Matlab Trust-region-reflective algorithm warning

I am very new to matlab and trying to solve portfolio optimization problem (minimizing the variance) using quadprog: ...
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votes
2answers
233 views

Portfolio Optimization Problem Without Correlation Info

I received this interesting problem from a friend today: Assume that you are a portfolio manager with $10 million to allocate to hedge funds. The due diligence team has identified the following ...
10
votes
1answer
354 views

A (mathematically) sound investment strategy

It is common wisdom in the investment community that a long-term investor saving for his future would do well to invest in high-risk/high-return assets when he is young, slowly switching his portfolio ...