May 2018
Beginner to intermediate
364 pages
7h 43m
English
In this section, we show one example of optimization for R. The first one is quite simple, which is the maximum of a user's utility, expressed here:

Where U is the utility function, E(x) is the expectation function, Rp is the portfolio return, A is a parameter representing risk preference, and
is the portfolio variance. Obviously, the utility is positively correlated with the expected portfolio return and negatively correlated with the portfolio risk (that is, variance). Note that this is a quadratic function.
Next, we try ...
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