Andrew Alkiviades <andrew.alkiviades@gmail.com> wrote in message <93473062-a05a-4d73-a166-0442400979ba@googlegroups.com>...
> On Monday, 8 July 2013 07:33:16 UTC+1, Torsten wrote:
> > Andrew Alkiviades <andrew.alkiviades@gmail.com> wrote in message <d4fcd555-67d7-4d4a-8657-6d1a84d6fcce@googlegroups.com>...
> >
> > > On Saturday, 6 July 2013 19:05:03 UTC+1, Andrew Alkiviades wrote:
> >
> > > > Hi - I have two curves, say "A" and "B" that I have obtained from experimental data
> >
> > > >
> >
> > > >
> >
> > > >
> >
> > > > I want to find the lagrangian multiplier of these two curves - i.e the point that maximizes "A" whilst minimizing "B"
> >
> > > >
> >
> > > >
> >
> > > >
> >
> > > > I understand that the curve fitting toolbox can do this but I dont have access to this toolbox on my system
> >
> > > >
> >
> > > >
> >
> > > >
> >
> > > > Does anyone know of another function / way to tackle this problem?
> >
> > > >
> >
> > > >
> >
> > > >
> >
> > > > I understand it might be quite straightforward but I am very new in Matlab and am struggling!
> >
> > > >
> >
> > > >
> >
> > > >
> >
> > > > Thank you
> >
> >
> >
> > Why should there be a point that simultaneously maximizes A and minimizes B ?
> >
> > I understand that - on a compact interval - there usually is a point that maximizes
> >
> > A-B, but ...
> >
> >
> >
> > Best wishes
> >
> > Torsten.
>
>
>
>
>
> Hi Torsten
>
> thanks for your reply
>
> I do believe there is a point that maximizes A and minimizes B simultaneously. This point is the lagrangian multiplier.
>
> Can I refer you to portfolio optimization in finance:
> model 5 in this document explains in further detail:
>
> http://www.rose-hulman.edu/mathjournal/archives/2007/vol8-n1/paper12/v8n1-12pd.pdf
>
> please let me know what you think
>
> Thank you again for your help
>
Every investor would be happy if there were a point that simultaneously maximizes return and minimizes risk -:)
You will have to find a compromise according to your individual will to take risks:
min:-p'x + mu*x'Vx
s.t. 1'*x=1
(see modified model 5).
Best wishes
Torsten.
Best wishes
Torsten.![]()
> On Monday, 8 July 2013 07:33:16 UTC+1, Torsten wrote:
> > Andrew Alkiviades <andrew.alkiviades@gmail.com> wrote in message <d4fcd555-67d7-4d4a-8657-6d1a84d6fcce@googlegroups.com>...
> >
> > > On Saturday, 6 July 2013 19:05:03 UTC+1, Andrew Alkiviades wrote:
> >
> > > > Hi - I have two curves, say "A" and "B" that I have obtained from experimental data
> >
> > > >
> >
> > > >
> >
> > > >
> >
> > > > I want to find the lagrangian multiplier of these two curves - i.e the point that maximizes "A" whilst minimizing "B"
> >
> > > >
> >
> > > >
> >
> > > >
> >
> > > > I understand that the curve fitting toolbox can do this but I dont have access to this toolbox on my system
> >
> > > >
> >
> > > >
> >
> > > >
> >
> > > > Does anyone know of another function / way to tackle this problem?
> >
> > > >
> >
> > > >
> >
> > > >
> >
> > > > I understand it might be quite straightforward but I am very new in Matlab and am struggling!
> >
> > > >
> >
> > > >
> >
> > > >
> >
> > > > Thank you
> >
> >
> >
> > Why should there be a point that simultaneously maximizes A and minimizes B ?
> >
> > I understand that - on a compact interval - there usually is a point that maximizes
> >
> > A-B, but ...
> >
> >
> >
> > Best wishes
> >
> > Torsten.
>
>
>
>
>
> Hi Torsten
>
> thanks for your reply
>
> I do believe there is a point that maximizes A and minimizes B simultaneously. This point is the lagrangian multiplier.
>
> Can I refer you to portfolio optimization in finance:
> model 5 in this document explains in further detail:
>
> http://www.rose-hulman.edu/mathjournal/archives/2007/vol8-n1/paper12/v8n1-12pd.pdf
>
> please let me know what you think
>
> Thank you again for your help
>
Every investor would be happy if there were a point that simultaneously maximizes return and minimizes risk -:)
You will have to find a compromise according to your individual will to take risks:
min:-p'x + mu*x'Vx
s.t. 1'*x=1
(see modified model 5).
Best wishes
Torsten.
Best wishes
Torsten.