The constraints in the mean-variance optimization problem, which include lower and upper bounds on individual asset weights and constraints on pairs of assets, ensure that resulting portfolios are long-only, fully invested, do not use leverage, and are not overly concentrated in a small number of asset classes.

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
• mean-variance optimization concept