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How do I reformulate this max GMV ratio constraint in convex way?

The closest I have come so far is to engineer a the constraint into a quadratically constrained quadratic program (QCQP): where in your case, $q_i=0$ and $r_i=0$ and, $ P_i = \mathbf{I} - \alpha \...
Attack68's user avatar
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sharpe ratio, convert into convex function, not understand that constraint,

After reading about A Signal Processing Perspective on Financial Engineering. I am trying to answer my question. But I am not sure that if I am correct or not. and show my question again. I would like ...
andy's user avatar
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