ࡱ> MODEL: !Minimize end-of-period variance in portfolio value; [VAR] MIN = .01080754 * ATT * ATT +.01240721 * ATT * GMC + .01307513 * ATT * USX +.01240721 * GMC * ATT +.05839170 * GMC * GMC +.05542639 * GMC * USX +.01307513 * USX * ATT +.05542639 * USX * GMC +.09422681 * USX * USX; ! Use exactly 100% of the starting budget; [BUD] ATT + GMC + USX = 1; ! Required wealth at end of period; [RET] 1.089083 * ATT + 1.213667 * GMC + 1.234583 * USX >= 1.15; END Root EntryCONTENTSRoot Entry*0_^ffContents X; \par \cf3 ! Use exactly 100% of the starting budget;\cf2 \par [BUD] ATT + GMC + USX = 1; \par \cf3 ! Required wealth at end of period;\cf2 \par [RET] 1.089083 * ATT + 1.213667 * GMC + 1.234583 * USX >= 1.15; \par \cf1 END\cf2 \par \par } {\rtf1\ansi\ansicpg1252\deff0\deflang1033{\fonttbl{\f0\fnil\fcharset0 Courier New;}} {\colortbl ;\red0\green0\blue255;\red0\green0\blue0;\red0\green175\blue0;} \viewkind4\uc1\pard\cf1\f0\fs20 MODEL\cf2 : \par \cf3 !Minimize end-of-period variance in portfolio value;\cf2 \par [VAR] \cf1 MIN\cf2 = .01080754 * ATT * ATT +.01240721 * ATT * GMC + .01307513 * ATT * USX +.01240721 * GMC * ATT +.05839170 * GMC * GMC +.05542639 * GMC * USX +.01307513 * USX * ATT +.05542639 * USX * GMC +.09422681 * USX * US