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The selection of a best element from some set of available alternatives. Typically consists of maximizing or minimizing a real function by systematically choosing input values from within an allowed set and computing the value of the function.

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How to set a fixed return for mean-CVaR portfolio optimization?

I'm using the timeSeries and fportfolio package in R to minimize the CVaR with different constraints for a given portfolio. Everything is working out so far. However, I can't manage to set a fixed mea …
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