I have a follow-on question to questions that appeared here and was not sure if the right way was to ask in the comments or post a new question.
My question is: how can I optimize a portfolio to suit both minimum variance as well as max diversification. Essentially the minimum variance portfolio that is most diversified.
I can formulate a quadratic optimization for either MVP (minimum variance) or MDP (max diversification) as per choueifaty et al.
But I don't know how to craft a quadratic program that optimizes for both at the same time. Is it even possible with a quadratic program or do I have to use some other optimization procedure?
The source questions are here: