Target | Portfolio weights |
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μA | x1 | x2 | x3 | Constraint 1 | Constraint 2 | VAR(Rp) |
0.1294 | 0.443565 | 0.556562 | 0.001282 | 1 | 0.1800009 | 4.7659114 |
E[Rp,x] | 0.18000098 |
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SD(Rp,x) | 2.18309674 |
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