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Writing a linear solver with a CVaR-Constraint is time-consuming. "Portfolio Safeguard" of Aorda is optimized for such kind of problems. In order to get it work, you must add the following elements: Data matrix_scenarios (a matrix of all your returns) matrix_returns (a vector containing the expected returns) Function CVaR (cvar_risk) linear (linear) ...


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ArturoP, as John said, instead of minimizing EV/EBIT, you could as well maximize the inverse ratio EBIT/EV, thus eliminating the division by 0. You could think of the ratio (e.g. EBIT/EV) as a utility function, i.e. how well you evaluate a company based on the 2 variables, such as U(EBIT,EV) = EBIT/EV. You'll notice that the ratio above works well when ...


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Sure, the variance of the total wealth can be expressed in terms of the variances and covariances of the prices of the assets. If $$ W = \sum_{i} \pi_i P_i $$ where $\pi_i$ is the total dollar amount invested in asset $i$ with price $P_i$. The variance of total wealth is then $$ Var(W) = \sum_i \pi_i Var(P_i) + \sum_i \sum_{j, j\neq i} \pi_i \pi_j Cov(P_i, ...



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