说明:It
is well-known in the portfolio selection literature that upper and/or lower weight constraint improves portfolio performance reducing estimation errors <qq_18822147> 在 上传 | 大小:221184
说明:One of the main contributions of Black–Litterman asset allocation modeling is bringing out the idea of updating portfolios relying on the investor views. The incorporation of such views may inject subjectiv- ity to the modeling phase <qq_18822147> 在 上传 | 大小:2097152
说明:When any one, or any combination of 'Conditional' BoundType, MinNumAssets, or MaxNumAssets are active, the optimization problem is formulated as a mixed integer nonlinear programming (MINLP) problem. The Portfolio class automatically constructs the M <qq_18822147> 在 上传 | 大小:474112