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Il portafoglio con vincoli di disuguaglianza (la funzione quapro)

In: Misurare e gestire il rischio finanziario

Author

Listed:
  • Francesco Menoncin

    (Università degli Studi di Brescia)

Abstract

Riassunto Nel capitolo precedente si è risolto, in forma algebrica, il problema di minima varianza soggetto a uno o due vincoli di uguaglianza (mediante l’utilizzo dei moltiplicatori di Lagrange). Gli operatori sul mercato finanziario, tuttavia, si devono spesso confrontare con vincoli di disuguaglianza; si pensi, per esempio, a chi non può o non vuole vendere allo scoperto delle azioni oppure a chi, come alcuni investitori istituzionali, sono soggetti a vincoli legislativi che impongono soglie massime per la detenzione di determinati strumenti finanziari.

Suggested Citation

  • Francesco Menoncin, 2009. "Il portafoglio con vincoli di disuguaglianza (la funzione quapro)," Springer Books, in: Misurare e gestire il rischio finanziario, chapter 11, pages 149-159, Springer.
    • Handle: RePEc:spr:sprchp:978-88-470-1147-2_11
    DOI: 10.1007/978-88-470-1147-2_11
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