Dr Phil Goddard MATLAB Assignments Email: phil@goddardconsulting.ca

BUS 801 – Financial Programming Fundamentals

MATLAB Assignment

Assuming a portfolio consists of one riskless asset and one risky asset then an investor will allocate their
money to the risky asset according to their personal risk aversion factor. The more risk averse the
investor then the less they will allocate to the risky asset.

Given the following scalar parameters,

Parameter Description Constraint
Risk free interest rate Must be positive
Expected return of the overall portfolio Must be greater than
Expected standard deviation of the overall portfolio Must be positive
Investor’s risk aversion factor Must be 1 or larger
Weight of investment in the risky asset 0 ≤ ≤ 1

then the weight of the investment in the risky asset is the value of that maximizes the following
Utility Function,

() = + ( − ) × − ×
2 ×
2 2⁄

a) Write a function to calculate based on values for , , , and specified by the user.

b) Write a script that,

1. Tests the above function using the parameter values in the following table, and displays
the result in the Command Window.

Parameter Value
2%
6%
20%
1.5

2. Generates a plot of values for for values of ranging from 1 to 10 in step sizes of
0.1. (The values for must be calculated using your function from part a)


Additional information:
Deliverables:
a) The m-code function, and the m-code test script that calls your function, with sample data
b) A pdf copy of your function and test script.

All files must be emailed to goddard@sfu.ca at or before the time when the assignment is due. (Your submission
must not be emailed to phil@goddardconsulting.ca.)


Dr Phil Goddard MATLAB Assignments Email: phil@goddardconsulting.ca

BUS 801 – Financial Programming Fundamentals

Groups:
a) The assignment may be completed in groups of up to 3 (Please clearly indicate in your submission the
names and student number of all groups members).
b) All members of the group will receive the same mark.
c) All members of the group must be clearly identified when the assignment is submitted.
d) Irrespective of how many people are in a group, the assignments will be marked to the same standard.

Marks:
a) 40% of the marks will be for generating correct calculations and visualization.
b) 30% of the marks will be for efficiency of the code.
c) 30% of the marks will be for code structure, layout and readability.

Due Date and Time: 7:00pm, Monday Feb 15th, 2021 (Vancouver Time.)







































































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