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Reverse optimization: How to generate the expected portfolio returns given the weights and a series of constraints on those weights?

This is not yet an answer, but too long for a comment. Let's start without the box constraints and solely impose $\sum_iw_i=1, i.e. w^T\mathbf{1}=1$: $$ \begin{align} \max_w\quad & w^T\mathbf{\mu}-...
Kermittfrog's user avatar
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Help me understand super replicating portfolio

I'm not familiar with super-replicating portfolios, but what I've gathered is that the idea is to find a static hedge that is greater than or equal to the asset with probability 1, ie find $a, b$ such ...
Rylan's user avatar
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