XlQuant
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    MVU.FI.TU.NS
    In This Topic
    MVU optimisation with : the full investment, long only and the turnover constraints.

    ARGUMENTS

    Asset returns Mean of asset returns Vector
    Covariance Covariance of asset returns Matrix
    Initial weight vector of initial weights Vector
    Risk Aversion The risk aversion coefficient Real number
    Target turnover The targeted maximum turnover Real number