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Calculation of tangent portfolio

Open phenaff opened this issue 3 years ago • 0 comments

Problem description

The function max_sharpe_ration in the vignette has a small error. The constraint $\w^T \mu = 1$ should be $\w^T (\mu - r_f) = 1$ i.e. one needs to subtract the risk-free rate from $\ mu$.

phenaff avatar Mar 11 '21 10:03 phenaff