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Andrea


Bocconi University

Active since 2014

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Optimization problem - Sequential Approximation - f(x(i)) = x(i) * E[r(i)|rp(x)<=VaR] - find the x such that all f(x) are equal
Dear all, I am trying to solve the following optimization/sequential approximation problem concerning an ERC portfolio. I hav...

10 years ago | 1 answer | 0

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