Problem #3, MATLAB Code (save as M files)
File #1
risk=zeros(301,1);
minreturn=zeros(301,1);
xvar=zeros(301,3);
for i=0:.1:30
j=floor(i*10+1);
x0=[.2;.2;.2];
A=[-10 -20 -30];
b=-i;
Aeq=[1 1 1];
beq=1;
lb=[0; 0 ;0];
[X fval]=fmincon(@objfun,x0,A,b,Aeq,beq,lb);
risk(j,1) = fval;
minreturn(j,1) = i;
xvar(j,:)=X' ;
end
plot(minreturn,risk)
File #2 (separate file in same subdirectory)
function f=objfun(x)
V=[4.2 -1.9 2;-1.9 6.7 -5; 2 -5 7];
f=[x(1) x(2) x(3)]*V*[x(1) x(2) x(3)]';
