MPT Optimization

Hi,

Can someone provide AFL code, a workable example, for solving the MPT Optimization problem subject to Constraints, ideally to MINIMIZE portfolio volatility

(i) within a StaticVars setting
(ii) in “normal” AB code

This is standard stuff but is beyond my programming abilities in AB.

many thanks,
Amarjit

Did you read “How to use this site”? Is your post clear to the users and does not leave room for guessing? It would be useful if you actually tell everyone what you mean with “MPT”

Hi,

Answers to your questions:

Yes.

No idea on both.

MPT is Modern Portfolio Theory https://en.wikipedia.org/wiki/Modern_portfolio_theory.

Amarjit