From 3a777ac4ca8a6de22cefd52bc952bcf797dca921 Mon Sep 17 00:00:00 2001 From: Axel Nilsson Date: Sun, 25 Feb 2024 21:09:05 +0100 Subject: [PATCH] Update README.md --- README.md | 3 +-- 1 file changed, 1 insertion(+), 2 deletions(-) diff --git a/README.md b/README.md index 7628101..1e329bf 100644 --- a/README.md +++ b/README.md @@ -53,14 +53,13 @@ $$ $$ \begin{align*} -\text{max} \quad & \sum_{t=0}^{T-1} \Big (\sum_{a \in A} \big ( \mathbb{E}[R_{ta} | \cal{F}_t]w_{ta} - \gamma \sum_{b \in A}w_{ta}w_{tb}\Sigma_{ab} + \kappa_a (w_{ta} - w_{t-1,a})^2 \big ) \Big)\\ +\text{max} \quad & \sum_{t=0}^{T-1} \Big (\sum_{a \in A} \big ( \mathbb{E}[R_{ta} | F_t]w_{ta} - \gamma \sum_{b \in A}w_{ta}w_{tb}\Sigma_{ab} + \kappa_a (w_{ta} - w_{t-1,a})^2 \big ) \Big)\\ \text{s.t} \quad & \sum_{a \in A} w_{ta} = \alpha, \quad \forall t \in \{1,\ldots, T \}\\ & l_{ta} \leq w_{ta} \leq u_{ta}, \quad \forall t \in \{1,\ldots T\}, ~ \forall a\in A \\ & w_{0a} = \text{inital weight} \quad \forall a \in A \\ \end{align*} $$ - ### **Forecasting** ##### **Equity Model**