To identify mean-variance efficient portfolios, the optimization problem is defined as: maximize 𝜇′⋅𝑤 subject to 𝑤′⋅𝛴⋅𝑤 = 𝜎², 𝑤 ⩾ 0, 𝑤′⋅𝟙 = 1, and 𝑤 ∈ 𝑊, where 𝜇 is asset class after-tax expected returns, 𝑤 is asset class weights, 𝛴 is the asset class covariance matrix, 𝟙 is a vector of ones, 𝜎 is target portfolio volatility, and 𝑊 represents a set of portfolios defined by extra constraints.

Authors

• Person: Not available Organization: Wealthfront
  Wealthfront Classic Portfolio Investment Methodology White Paper

Sources

• Wealthfront Classic Portfolio Investment Methodology White Paper research.wealthfront.com Wealthfront via serper

Referenced by nodes (2)

• asset classes concept
• optimization problems concept