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
"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