Portfolio Optimization: Inputs

Assets in Portfolio: 4

To select a different number of assets, return to the main menu.


Objective Function:
E(R) - 0.5 * * Var(R)
(Enter coefficient of risk aversion)

Compute:
a two-asset rebalancing to improve the objective
the portfolio that maximizes the objective

Please enter all numerical values in decimal form - e.g., a 4% mean return would be entered as .04, not 4.0.

Initial Portfolio Parameters
Asset # Asset Parameters Portfolio Weights
Mean Std Dev Initial Weight Lower Bound Upper Bound
1
2
3
4


Correlation Matrix
Asset # Asset #
1 2 3 4
1 1.000
2 1.000
3 1.000
4 1.000