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Mean - variance optimization.


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.



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