Tagged Questions
1
vote
0answers
80 views
pricing of heat rate-linked derivative [migrated]
It's a simplified model.
Suppose $U_t$ is a random variables subject to Lognormal($x_1$, $z_1^2$)distribution. $V_t$ is a random variables subject to Lognormal($x_2$, $z_2^2$)distribution. Suppose ...
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
67 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
1answer
1k 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
63 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
983 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:
...
0
votes
2answers
198 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
298 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 ...
