Optimal Portfolio Allocation and Economic Utility - Maple Application Center
Application Center Applications Optimal Portfolio Allocation and Economic Utility

Optimal Portfolio Allocation and Economic Utility

Authors
: Prof. Steven Dunbar
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Show how the risk and reward set of a portfolio of two or three securities whose returns are jointly normally distributed is calculated from standard theorems about the mean and variance of linear combinations of the random variables. Use ideas from multivariable calculus to show how the feasible set is derived. Visualize the efficient frontier of the risk and reward set. Visualize the economic utility of the portfolio. Show how the concept of economic utility selects a unique optimal portfolio on the efficient frontier.

Application Details

Publish Date: September 14, 2009
Created In: Maple 13
Language: English

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