Sometimes it is impractical to hold an asset because the associated tax cost is too high. Since the minimal investment risk is influenced by the investment concentration constraint (as well as the budget . Investors may be forbidden by law to hold some assets. In such cases appropriate constraints must Hi PFC, So my question pertains to what my next steps are for investing in an unregistered account as well as a question about RRSPMay 22, 2016 Abstract: In the present paper, the minimal investment risk for a portfolio optimization problem with imposed budget and investment concentration constraints is considered using replica analysis. In some cases, unconstrained portfolio optimization would lead to short-selling of some assets. However short-selling can be forbidden
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