STAT244.Lecture.05.06 4

STAT244.Lecture.05.06 4 - Alternative Formulations 2 Return...

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Alternative Formulations I Return Maximization: max w w 0 μ s.t. w 0 Ω w = σ 2 0 , w 0 1 = 1; index tracking. I Risk Aversion: max w ( w 0 μ - λ w 0 Σ w ) s.t. w 0 1 = 1; λ is the risk-aversion
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This note was uploaded on 10/16/2010 for the course STAT 244 taught by Professor Dr.velu during the Summer '10 term at Stanford.

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