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CRANepoMaRDI QIDQ5982980FDOQ5982980

Enhanced Portfolio Optimization (EPO)

Bernardo Reckziegel

Last update: 17 August 2023

Copyright license: MIT license, File License

Software version identifier: 0.1.0

Description

Implements the Enhanced Portfolio Optimization (EPO) method as described in Pedersen, Babu and Levine (2021) <doi:10.2139/ssrn.3530390>.

Cites work

• Enhanced Portfolio Optimization

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