Specifies the method to compute the root of a matrix.
Constructs the constraint coefficient arrays of a market impact term in the compact form.
Constructs the constraint coefficient arrays of the portfolio risk term in the compact form.
Computes the matrix root by MatrixRootByDiagonalization.
An SOCP constraint for portfolio optimization, e.g., market impact, is represented by a set of constraints in this form.
the variables involved in
Constructs the objective function for portfolio optimization.
Constructs an SOCP problem for portfolio optimization.
Exception thrown when a constraint is violated.
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