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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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For the specification $w_i = s_i/v_i$ the objective is $$ argmin \sum_i \left(w_i - \frac{s_i}{v_i}\right)^2. $$ Add to this any constraints you might have.
answered Oct 31 '16 by RRG
2
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The maximum Sharpe portfolio has a closed form solution. Let $w_i$ be the weight of asset $i$ so that $\sum_i w_i = 1$. The weights for the maximum Sharpe portfolio is then $$ \bf{w} = \frac{\bf{\Sig …
answered Jul 18 '17 by RRG