Notes4Optimization116805140章节.pptxVIP

Portfolio Optimization Professor Minwen Li ;Case Study;Main sources of Harvard’s revenue: Government sponsorship; gifts for current use; student fees; and endowment returns. ;Value of endowment grew from $960m in 1974 to $27.6bn in 2010: average annual return of 10%. Jane Mendillor (HMC CEO): “our sole purpose is to provide resources for a single mission: to support the educational and research objectives of Harvard University”. ;Learning Objectives;;Comparing the Investments;Characterizing Worldwide Investors;Risk Adjusted Investment Return;Risk Adjusted Investment Return;Risk Aversion and