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Date: Tue, 13 Aug 2013 15:51:40 -0700 (PDT)
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Subject: Re: lagrangian multiplier when there are two curves obtained from
From: Andrew Alkiviades <andrew.alkiviades@gmail.com>
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On Monday, 12 August 2013 11:46:09 UTC+1, Torsten  wrote:
> Andrew Alkiviades <andrew.alkiviades@gmail.com> wrote in message <93473062-a05a-4d73-a166-0442400979ba@googlegroups.com>...
> 
> > On Monday, 8 July 2013 07:33:16 UTC+1, Torsten  wrote:
> 
> > > Andrew Alkiviades <andrew.alkiviades@gmail.com> wrote in message <d4fcd555-67d7-4d4a-8657-6d1a84d6fcce@googlegroups.com>...
> 
> > > 
> 
> > > > On Saturday, 6 July 2013 19:05:03 UTC+1, Andrew Alkiviades  wrote:
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> > > 
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> > > > > Hi - I have two curves, say "A" and "B" that I have obtained from experimental data
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> > > > > I want to find the lagrangian multiplier of these two curves - i.e the point that maximizes "A" whilst minimizing "B"
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> > > > > I understand that the curve fitting toolbox can do this but I dont have access to this toolbox on my system
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> > > > > Does anyone know of another function / way to tackle this problem?
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> > > > > I understand it might be quite straightforward but I am very new in Matlab and am struggling!
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> > > > > Thank you
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> > > Why should there be a point that simultaneously maximizes A and minimizes B ?
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> > > I understand that - on a compact interval - there usually is a point that maximizes 
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> > > A-B, but ...
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> > > Best wishes
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> > > Torsten.
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> > Hi Torsten
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> > thanks for your reply
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> > I do believe there is a point that maximizes A and minimizes B simultaneously. This point is the lagrangian multiplier.
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> > 
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> > Can I refer you to portfolio optimization in finance:
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> > model 5 in this document explains in further detail:
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> > 
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> > http://www.rose-hulman.edu/mathjournal/archives/2007/vol8-n1/paper12/v8n1-12pd.pdf
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> > 
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> > please let me know what you think
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> > 
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> > Thank you again for your help
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> > 
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> 
> 
> Every investor would be happy if there were a point that simultaneously maximizes return and minimizes risk -:)
> 
> You will have to find a compromise according to your individual will to take risks:
> 
> min:-p'x + mu*x'Vx
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> s.t. 1'*x=1
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> (see modified model 5).
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> 
> 
> Best wishes
> 
> Torsten.
> 
> 
> 
> Best wishes
> 
> Torsten.


Hi Torsten

thank you for your reply
indeed i am looking for the compromise that minimizes risk and maximizes return

Can this be done in matlab?
if so what function will do this, also do you know of any similar examples that can help in terms of the coding?