key features

Volatility Constraints

Description

Constrain the predicted volatility of the portfolio, which is computed from the predicted variance matrix.

Implementation

This is done in Portfolio Probe with the var.constraint argument (as in variance constraint).

It is possible to input more than one variance matrix, so you can have multiple volatility constraints.

Other key features

Generate Random Portfolios

Portfolio Optimization

Utility-free Optimization

Contraints and flexibility

Transaction Costs

Computing Engine

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