Formal Problem Statement
Contents
Notations
Initial Data
Number of instruments in the portfolio, I = 31.
Number of time moment in the path, J = 1166.
Lower bound on weights, 
0.2.
Upper bound on weights, 
0.8.
Confidence level, 
= 0.95.
Notations
Initial Data
Number of instruments in the portfolio, I = 31.
Number of time moment in the path, J = 1166.
Lower bound on weights, 0.2.
Upper bound on weights, 0.8.
Confidence level, = 0.95.