- 240 Downloads
For the following numerical illustrations we implemented the main method from Section 5.2 in Matlab 5.3 and used the routine fmincon from its Optimization Toolbox 2.0 to replace the “black box” in step 3 of the method. All examples were run on a 800 MHz Linux PC.
KeywordsOptimal Portfolio Order Optimality Condition Ellipsoidal Uncertainty Optimal Error Bound Concave Quadratic Function
Unable to display preview. Download preview PDF.