Mean Variance Optimization Sample Clauses

Mean Variance Optimization. One Step, Multi Asset Problem From equation (3.2) and equation (3.3), we can write our mean variance utility function as: γ J =E[Xt+∆t] − 2 V ar[Xt+∆t] = Σ (1 + µt,i∆t)ψt,i + ct,i∆t ut,i − γ Σ Σ (σ t,i ψt,i + dt,i )ut,i (σ t,j xx,x + dt,j )ut,j ρij
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Related to Mean Variance Optimization

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