Investment Problem

Discussion in 'Trading' started by Ruph, Nov 1, 2003.

  1. Ruph


    Hi all. I need some suggestions on the following:

    "You have identified a set of 25 stocks that you regard as undervalued. You are willing to tolerate a portfolio variance of 9% per annum. You are not permitted to sell short, trade on margin, or allocate more than 10% of your investment capital to any one stock. Identify the constrained optimization problem that you face."

    I have a couple of ideas in mind but need some more input
  2. L\Really lousy universe