Optimization under Uncertainty using GAMS: Success Stories and ...
Optimization under Uncertainty using GAMS: Success Stories and ...
Optimization under Uncertainty using GAMS: Success Stories and ...
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T arg et R etu rn o f Po rtfo lio<br />
0,2<br />
0,18<br />
0,16<br />
0,14<br />
0,12<br />
0,1<br />
0,08<br />
0,06<br />
0,04<br />
0,02<br />
0<br />
Efficient Portfolios<br />
0,00 10,00 20,00 30,00 40,00 50,00<br />
Variance of Portfolio<br />
Mean-Variance Model<br />
Solution<br />
Share<br />
100%<br />
90%<br />
80%<br />
70%<br />
60%<br />
50%<br />
40%<br />
30%<br />
20%<br />
10%<br />
0%<br />
Efficient Portfolios for Different Target Returns<br />
minv p1 p2 p3 p4 p5 p6 p7 p8 maxr<br />
Target Return of Portfolio<br />
16<br />
us<br />
uk<br />
jp<br />
gr<br />
cn
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