Tagged Questions

-1
votes
0answers
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question about Mean Variance optimization in C# [closed]

I just found (probably) mean variance optimizator on MSDN site with Microsoft Solver 3.0 (see, this link). Is this valid code/approach to calculate weights of each position in sound of mean variance ...
6
votes
3answers
205 views

What is the canonical reference for Minimum Variance Portfolio's uniqueness?

I am writing a white paper in which I am trying to compare a strategy to different well-known - and classic - asset allocation optimization approaches. One of the methods I chose is the minimum ...