Portfolio Sensitivity Analysis with Lower Bound Constraint
Xiaojuan Liu · Journal of Xinxiang University · 2012
This paper studies the perturbance of M-V(mean-variance) portfolio with lower budge constraint.The model is set up of M-V portfolio with lower budge constraint.Then the optimal solution and efficient frontier of the model are provided.By sensitivity analysis for efficient frontier and optimal solution,movement rule of the efficient frontier and perturbation of the optimal solution are obtained.