This program is based on paper Dynamic Mean-Variance Portfolio Selection With No-Shorting Constraints. This program illustrates the example of to show how mean-variance portfolio selection problem can be solved using the method proposed in this paper. It uses the Mathematica as a programming langause. The possible inputs are number of assets m, interest rate of bonds r, interest rates of asset B, volatility matrix and it's inverse. As an ouput, we could see the graph of efficient frontier.
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View Code? Open in Web Editor NEWDynamic mean variance portfolio selection with no shorting constraints