My Math Forum determine efficent frontier

 Economics Economics Forum - Financial Mathematics, Econometrics, Operations Research, Mathematical Finance, Computational Finance

May 10th, 2013, 06:10 AM   #1
Newbie

Joined: May 2013

Posts: 1
Thanks: 0

determine efficent frontier

Hi,
I have problem with understanding the following example:

Quote:
 Consider a financial market with the asset structure $A=\begin{matrix}2&1\\0=&2\end{matrix}=$. Both states are equally likely. a) determine the eficcent frontier if short sales are banned and if short sales are allowed.
What is matirx A? I know i need the expected returns of the assets and the variance/covariance matrix as inputs, in order to determine the efficent froniter,
but i dont get what the numbers in the matrix stand for...(because the usual numbers in the COV-matrix are given in percentages e.g. 0,25)
And what does "both states are equally likely" mean..?

Does anyone have an idea?

kind regards

 Tags determine, efficent, frontier

 Thread Tools Display Modes Linear Mode

 Similar Threads Thread Thread Starter Forum Replies Last Post pjlloyd100 Calculus 2 October 1st, 2012 10:27 PM joker91 Algebra 1 May 24th, 2012 11:19 AM lior Economics 0 September 23rd, 2011 01:13 PM wannous Calculus 2 November 3rd, 2009 07:46 AM watuwanz Calculus 1 March 22nd, 2009 07:50 AM

 Contact - Home - Forums - Cryptocurrency Forum - Top