Optimal portfolio Sample QP

Question

Hi all,

I'm trying to do the opposit sample of Markowitz Optimal Porfolio. In this sample, the variance is minimized respect to the expectect return, but what i want to do is maximize the return with an expected variance.  When I put the bounds in a variance row , an executing error appear:

"Cannot set bounds on a quadratic goal."

Anybody can help me?

Thanks in advance,

Roberto

Answer 1

This would turn the problem into a quadratically constrained quadratic program, which the QP solver does not support.

Nate