Quantcast – a Risk.net Cutting Edge podcast cover image

Jan Rosenzweig – 16/05/23

Quantcast – a Risk.net Cutting Edge podcast

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The Unconstrained Portfolio Optimization Process

The original motivation was unconstrained with portfolio optimization, which includes non-linear products. And so the end point of this procedure is actually having a diversified portfolio. This is applied to LDI as we said, but not only, right? You were telling me this is absolutely able to do anything. Yeah.

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