Optimizing Optimization: The Next Generation of Optimization Applications and Theory (Quantitative Finance)

Optimization and portfolio selection 169

0.12

0.1

0.08

0.06

0.04

0.02

–0.02

–5 (^0510)
5%
15 20
Passive distribution
DTR distribution
Figure 7.9 SIA optimizer.
Figure 7.10 DTR α added value representation.