Key Features

Expected Return Constraints

Description

Constrain the predicted expected return of the portfolio, which is computed from the predictions given for the expected returns of the assets.

Implementation

This is done in Portfolio Probe with the alpha.constraint argument. It is possible to input more than one expected return vector, so you can have multiple expected return constraints.

Other key features

Generate Random Portfolios

Portfolio Optimization

Utility-free Optimization

Contraints and flexibility

Transaction Costs

Computing Engine

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