MS5220 Management Science ch.10 Investment Portfolio Selection

MS5220 Management Science ch.10 Investment Portfolio Selection
BNO 已被歐洲 25個國家認為 EU/EEA Citizen，英、法、愛爾蘭國除外
http://www.hkreporter.com/talks/thread-823529-1-1.html
終年碌碌，至於老死。竟不知成就了箇甚麼。可哀也已。


Min Z = S = (X1)^2*(S1)^2 + (X2)^2*(S2)^2 + . . . +(Xn)^2*(Sn)^2 + sum( i != j ) (Xi Xj Rij Si Sj)

Xi, Xj = the proportion of money invested in investments i and j ;

( Si )^2 = the variance for investment i ;

Rij = the correlation between returns on investments i and j ;

Si, Sj = the standard deviation of returns for investments i and j ( ie., Sqrt() of the variance)

subject to

RiXi + R2X2 + . . . + RnXn >= Rm
eg., 0.08X1 + 0.09X2 + 0.16X3 + 0.12X4 >= 0.11

Ri = expected annual return on investment i
Xi = proportion ( or fraction ) of money invested in investment i
Rm = Minimum Desired annual return from the portfolio

x1 + x2 + . . . +Xn = 1.0
Xi >= 0 // non-negativity constraints

#109. 問 ：「上智下愚，如何不可移？」先生曰：「 不是不可移。只是不肯移。」

般若心經思想史 -- 東初老人全集 ( vol.4)
http://dongchu.ddbc.edu.tw/web/No2/DonChun2.html