Target | Portfolio weights |
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μA | x1 | x2 | x3 | Constraint 1 | Constraint 2 | VAR(Rp) |
0.01687 | −0.052694 | 0.0116674 | 1.04102 | 1 | 0.0100000 | 11.53808 |
E[Rp,x] | 0.010000003 |
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SD(Rp,x) | 3.396775395 |
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