Model Extensions
These extensions are related to the relaxations described under our basic model. The
implementation of these extensions provides a much greater degree of realism to our model.
In order to make our basic model more applicable to real world situations we
added four risk factors and chose to create two models. The first model attempts
to maximize return, while keeping each factor risk below a predetermined level.
The second model attempts to minimize portfolio risk while keeping total
portfolio return above a predetermined level. We also chose to increase the
number of securities from four to eight.
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Last Updated November 19, 1997 by Chris Payton