Package tech.nmfin.portfoliooptimization.corvalan2005
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Interface Summary Interface Description Corvalan2005.WeightsConstraint Constraints on weights which are defined by a set of less-than constraints. -
Class Summary 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.