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Subject: Re: lagrangian multiplier when there are two curves obtained from
Date: Wed, 14 Aug 2013 06:24:28 +0000 (UTC)
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Andrew Alkiviades <andrew.alkiviades@gmail.com> wrote in message <c2ccde9c-351e-4e25-a927-f3258438f887@googlegroups.com>...
> > 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
> > 
> > s.t. 1'*x=1
> > 
> > (see modified model 5).
> > 
> > 
> > 
> > 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?

If your complete problem looks as the one above:
help quadprog

Best wishes
Torsten.