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comment MPT: Adding constraint on minimum asset weight
Thanks a lot! The bounds for w_i you mention are a bit different from my question, but I understand the concept.
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comment MPT: Adding constraint on minimum asset weight
Michael, thanks for your comment. I'm not using any specific software yet. My very limited knowledge about optimization comes from stanford.edu/~wfsharpe/mia/opt/mia_opt1.htm, which talks about steepest ascent. If the solution space is non-convex, this wouldn't work I guess. Can you point me to a suitable optimization technique? (Sorry if this is a very basic question ...)
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