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Mean-Variance Portfolio Optimization

Create Portfolio object, evaluate composition of assets, perform mean-variance portfolio optimization

Portfolios are points from a feasible set of assets that constitute an asset universe. A portfolio specifies either holdings or weights in each individual asset in the asset universe. The convention is to specify portfolios in terms of weights, although the portfolio optimization tools work with holdings as well. For information about Mean-Variance portfolio optimization, see Portfolio Optimization Theory.