## Description

Portfolio Optimization for 4 Securities Using Lagrange Multipliers

Problem:

Construct the Optimal Portfolio that:

delivers the target return (mu_Target)

with minimum risk

Minimize the risk of the portfolio (in this case, measured as half the variance)

While maintaining an expected return target of (mu_Target)

By adjusting the investment weights on each asset

Subject to the budget constraint that the weights sum to 1

Method:

Since constraints are equalities => We can use Method Lagrange

## Reviews

There are no reviews yet.