Add quadtest.m for problem 2

diff --git a/quadtest.m b/quadtest.m
new file mode 100755 (executable)
index 0000000..9ca32c1
--- /dev/null
+++ b/quadtest.m
@@ -0,0 +1,27 @@
+% covariance matrix\r
+C = [ 5  .2   .5  .1  .5;\r
+     .2   2  .01  .2  .1;\r
+     .5  .01   1   1   1;\r
+     .1  .2    1  .1  .1;\r
+     .5  .1    1  .1  .01 ];\r
+\r
+Cdiag = diag(diag(C));\r
+\r
+my = [5 4 3 2 1]'; % expected price at time T\r
+my = zeros(5, 1);\r
+\r
+% v*x = beq\r
+v = [1 2 3 4 5]'; % current price\r
+beq = [1];\r
+\r
+% A*x <= b\r
+A = -eye(5);\r
+b = zeros(5, 1);\r
+\r
+kappa = 1000;\r
+\r
+X = quadprog(kappa*C, -my, A, b, v', beq);\r
+X\r
+\r
+Y = quadprog(kappa*Cdiag, -my, A, b, v', beq);\r
+Y\r