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Results tagged with portfolio-optimization
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user 58743
Questions related to mathematical methods used for searching of optimal portfolio structures. Also related to questions on optimal structure of portfolios from both strategic and tactical point of view
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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 …
