# Tag Info

2

I'd put this down as a comment, but don't have the reputation to do so. There is (or at least used to be) a two part MOOC course over at Coursera by one of the developers of QuantSoftware Toolkit. This is not an endorsement of the course or the software, just a statement of fact (for the record, I did do a part of the course, but found it too simplistic and ...

1

From how you outlined your solution, you are computing the mean variance portfolio with minimum risk and with target return $\overline{r}$. I'd say that you are solving an optimization using Lagrange multiplier method given the values of matrix A. $\lambda$ and $\mu$ are the Lagrande multipliers: these parameters measure the sensitivity of the Lagrange ...

1

You can download the time series of e.g. S&P500 prices from NYSE, then their dates should well represent approximately the real NYSE trading days.

Only top voted, non community-wiki answers of a minimum length are eligible