Stack Exchange Network

Stack Exchange network consists of 175 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers.

Visit Stack Exchange

New answers tagged


Since you are running a QuadraticProgram (QP) I'll assume your objective function is of the form: $$ \min_x \quad f(x) = (b+x)^T Q (b+x) + P (b+x) \;,$$ where $b$ are the known market weights and thus $\delta^T b = 1$. $x$ is interpreted as a deviation in asset holding from the given market portfolio. You have specified the constraints as: 1) $ \delta^T ...

Top 50 recent answers are included