Small/Large Sample Portfolio Optimization
Portfolio Optimization by Benders decomposition
Auxiliary function used by .ZI_projection
Makes a diagonal matrix with values from x
Computes the empirical Conditional Value-at-Risk, Value-at-Risk and Me...
Computesthe solution of the linear program for ,...
Portfolio optimization which finds an optimal portfolio with the small...
Two functions for financial portfolio optimization by linear programming are provided. One function implements Benders decomposition algorithm and can be used for very large data sets. The other, applicable for moderate sample sizes, finds optimal portfolio which has the smallest distance to a given benchmark portfolio.