# Tag Info

Optimization is definitely important in Quantitative Finance, especially for portfolio optimization where we maximize utility of the return of a portfolio as linear weighted vector of asset returns subject to a desired risk level: $$\max_{w\in[0,1]^n} U(\mu_p(w),\sigma_p(w))\quad s.t. \sum_{i=1}^n w_i=1$$ where $w$ being the portfolio weights, and $U$ ...