文件名称：a sharper angle on optimization.pdf
文件大小：299KB
文件格式：PDF
更新时间：2023-10-21 13:23:09
SOCP
The classical mean-variance optimization takes expected returns and variances and produces portfolio positions. In this paper we discuss the direction and the magnitude of the positions vector separately, and focus on the former. We quantify the distortions of the mean-variance optimization process