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Expected return and covariance matrix calculation.
Minimize the portfolio volatility.
Minimize the risk for a given target return.
Maximize the return for a given target risk.
Maximize the quadratic utility for a given risk aversion.
The diversification of the portfolio with the help of L2 regularization.
Backtesting investigation of the effect of the optimized S&P 500 portfolio
diversification with L2 regularization.