Differences

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--- personal:portfolio:portopt [2014/05/28 14:27]
antonello [Bugs and feedbacks]
+++ personal:portfolio:portopt [2014/05/28 14:55]
antonello [Acknowledgements]
@@ Line 3: / Line 3: @@
 You have to provide PortOpt (in text files or - if you use the api- using your own code) the variance/covariance matrix of the assets, their average returns and the agent risk preference.
-It returns the vector of assets'shares that compose the optimal portfolio.
+It returns the vector of assets' shares that compose the optimal portfolio.
 In order to minimise the variance it internally uses [[http://quadprog.sourceforge.net/|QuadProg++]], a library that implement the algorithm of Goldfarb and Idnani for the solution of a (convex) Quadratic Programming problem by means of an active-set dual method.
@@ Line 28: / Line 28: @@
 In such case the indifference curves can be drawn like a bundle of straight lines having equation $prod = \alpha * var + \beta$, where $\alpha$ is the linear risk aversion coefficient and both $prod$ and $var$ refer to the overall portfolio's productivity and variance.
-Point $B$ represents the point having the lowest possible portfolio variance.  Agents with $alpha$ risk aversion will choose however the tangent point $C$ that can be obtained by solving the following quadratic problem:
+Point $B$ represents the point having the lowest possible portfolio variance.  Agents with $\alpha$ risk aversion will choose however the tangent point $C$ that can be obtained by solving the following quadratic problem:
 \begin{equation}
@@ Line 130: / Line 130: @@
 ===== Acknowledgements =====
-This work was supported by the French National Research Agency through the Laboratory of Excellence ARBRE, a part of the "Investissements d'Avenir" Program (ANR 11 -- LABX-0002-01) and by a grant overseen by Office National des Forêts through the Forêts pour Demain International Teaching and Research Chair.
+This work was supported by:
+  * a grant overseen by Office National des Forêts through the [[http://www.foretspourdemain.fr |Forêts pour Demain International Teaching and Research Chair]];
+  * the French National Research Agency through the [[http://mycor.nancy.inra.fr/ARBRE/ |Laboratory of Excellence ARBRE]], a part of the "Investissements d'Avenir" Program (ANR 11 -- LABX-0002-01).