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Update 13.3.ipynb
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SteveDiamond authored Dec 8, 2022
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5 changes: 2 additions & 3 deletions exercises/13.3.ipynb
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"\n",
"* No (additional) constraints.\n",
"* Long-only: $w \\geq 0$.\n",
"* Limit on total short position: $1^T(w_-) \\leq 0.5$, where $(w_-)_i = \\max\\{−w_i\n",
", 0\\}$.\n",
"* Limit on total short position: $1^T(w_-) \\leq 0.5$, where $(w_-)_i = \\max\\{−w_i, 0\\}$.\n",
"\n",
"Compare the optimal risk in these portfolios with each other and the uniform portfolio."
]
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},
"nbformat": 4,
"nbformat_minor": 4
}
}

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