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Incorrect negative portfolio weights for constrained minimum-variance portfolios

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3 comments

  • Official comment
    Simranjit Kaur
    Gurobi Staff Gurobi Staff
    This post is more than three years old. Some information may not be up to date. For current information, please check the Gurobi Documentation or Knowledge Base. If you need more help, please create a new post in the community forum. Or why not try our AI Gurobot?.
  • Matthias Miltenberger
    Gurobi Staff Gurobi Staff

    Hi Christian,

    Thank you for participating in our community forum! Could you please edit your post to make it more readable? Especially the code section should be put into a code block to preserve indentation. Please see our forum instructions for additional info.

    Thanks,
    Matthias

    0
  • Christian Koeppel
    Gurobi-versary
    First Comment
    First Question

    HI Matthias,

    Thanks a lot for your reply and tips. I have adjusted the post accordingly and also added a screenshot from the paper for more clarity. 

    Thanks, 

    Christian

    0

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