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Solve for the mean-VaR optimal portfolio with the following constraints and the objective: 1 (a) Portfolio constraints: x = (x1, . . . , xd)T

Solve for the mean-VaR optimal portfolio with the following constraints and the objective: 1 (a) Portfolio constraints: x = (x1, . . . , xd)T must satisfy Xd i=1 xi ? 1, and Xd i=1 |xi| ? ? (b) T...

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