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Reframing as return maximization #2

Merged
merged 8 commits into from
Apr 25, 2024
Merged

Reframing as return maximization #2

merged 8 commits into from
Apr 25, 2024

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Foggalong
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@Foggalong Foggalong commented Apr 23, 2024

Reframing the problem as return maximization, rather than risk minimization. Initial reframing done, with the note that this gives us a slightly more complicated set of $\lambda$ to work through. Tasks to do:

  • Rewrite previous notebook to explain the difference in frames
  • Check whether there's still numerical error present at $\kappa = 0$
  • Better explain the idea of $z$ pushing down for the $\sqrt{w^{T}\Omega w}$ term
  • Correct footnotes (objectives + order have now changed)

Includes a fix where in one place I'd written in the norm-form of a term coming from the quadratic uncertainty set, rather than the term coming from the box uncertainty set
Has the original working for risk minimization mindset, rather than the return maximization mindset
@Foggalong Foggalong merged commit f21e77f into main Apr 25, 2024
@Foggalong Foggalong deleted the reframing branch April 25, 2024 13:05
@Foggalong Foggalong added documentation Improvements or additions to documentation enhancement New feature or request labels Apr 30, 2024
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