Interface | Description |
---|---|
Corvalan2005.WeightsConstraint |
Constraints on weights which are defined by a set of less-than constraints.
|
Class | Description |
---|---|
Corvalan2005 |
This paper tackles the corner solution problem of many portfolio optimizers, by
optimizing the portfolio diversification with some relaxation on the volatility σ
and the expected return R of a given optimized (but non-diversified) portfolio.
|
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.