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0answers
18 views

What are some basic mathematical problems or algorithms behind those practical applications? [on hold]

Maybe it's not clear from the title itself. I can think of some problems such as solving system of equations, convex optimization that are widely used in many fields such as engineering, financial ...
1
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1answer
19 views

Method to calculate the best way to repay two different loans given a set amount of money per month?

Given two (or more) loans of different balances and interest rates and a single amount of funds available per payment period, is there a way to calculate the best way to split the available funds to ...
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0answers
25 views

Matlab Optimization problem with Matrices

I'm trying to solve an optimization problem in Matlab. The equations you will find below. Problem is it is all Matrices, and I have no idea which solver to use for that. w is of size (n x 1) mu_BL (1 ...
0
votes
1answer
11 views

Optimizing interest for a set of debt payments

Suppose I've got $n$ debts with principals $P_1, P_2, ..., P_n$, with corresponding interest rates $r_1, r_2, ..., r_n$, compounded monthly. Further, assume I have a constant $A$ dollars per month to ...
3
votes
1answer
61 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 ...
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
145 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 ...
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2answers
3k 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 ...
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0answers
78 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
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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: ...
0
votes
2answers
259 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
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1answer
374 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 ...