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Dear Mr. @dcajasn Excuse my rudimentary question, but I have a question about the Optimization method. We can select 4 different obj. I hane a question about the formulation when "MinRisk" and "MaxRet" are selected. I referred to the paper "Entropic Portfolio Optimization: a Disciplined Convex Programming Framework". I believe "MinRisk" is equation (16) and "MaxRet" is equation (15). Is my understanding correct? Best regards, |
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Replies: 1 comment 1 reply
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Hi @REICHIYAN Yes, you are correct. Best, |
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Hi Mr. @dcajasn Thank you for your prompt response! Best regards, |
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Hi @REICHIYAN
Yes, you are correct.
Best,
Dany