Prototype
Function portfolio(lambda As Double,
X As Variant,
x_lower As Variant,
x_upper As Variant,
asset_returns As Variant,
covariance As Variant,
tol As Double,
Optional X_index As Variant) As Variant
Description
This function calculates most efficient portfolio using the notation of Sharpe.
Arguments
lambda - Double : The risk aversion of the investor, lambda >= 0
X - Variant (containing a single column of Double values) : The initial approximation to the efficient portfolio.
x_lower - Variant (containing a single column of Double values) : The lower bounds on X.
x_upper - Variant (containing a single column of Double values) : The upper bounds on X.
asset_returns - Variant (containing a single column of Double values) : The expected asset returns.
covariance - Variant (containing a matrix of Double values) : The covariance matrix of the asset returns.
tol - Double : The tolerance to be used when optimising.
X_index - Variant (containing a single column of Double values) : The tracker index.
Returned Values
The order of elements output is : the computed portfolio x(1) .. x(n), the portfolio risk, the
portfolio return.
Other Information
Information on enumeration types
List of available routines