I have posted two versions of the solutions I worked, one in Mathematica 6.0 and the other in MATLAB R2007b. If you need me to re-work the Mathematica solution for a previous version, please let me know. In both cases, I used trial and error to identify that the optimal portfolio was 55% risky asset and 45% riskless asset.
Here is the diagram that I shared in class from Casella & Berger that shows the relationships between the major classical distributions.
The files we use in the lab such as the M-file for binomial() will be kept in the directory http://www.math.umn.edu/~dodso013/fm503/docs/.
You can load a sample of random variables into MATLAB using the command
Feel free to leave comments for the instructor and other visitors.