Table of symbols

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	Vector of ones
	Confidence level
	Vector of instantaneous alphas
	Vector of ordinary least-squares estimates for instantaneous alphas
	Vector of portfolio betas
	Matrix of betas
	Ordinary least-squares estimate for matrix of betas
	Certainty equivalent
	Conditional Value-at-Risk
	Vector of dividend yields
	Portfolio dividend yield
	Diagonal matrix with elements of at the main diagonal.
	Vector, whose elements are equal to diagonal elements of A
	Vector of transaction costs
	Vector of regression residuals
	Mathematical expectation symbol
	Downside volatility
	Normalized downside volatility
	Inaction region
	Information ratio
	Absolute risk aversion coefficient
	Relative risk aversion coefficient
	Expected simple rate of return
	Mu vector
	Excess Mu vector
	Implied excess Mu vector
	Vector of sample estimates for excess Mu
	Model-implied estimate for excess Mu vector
	Portfolio Mu
	Portfolio excess Mu
	Excess Mu for GMV portfolio
	Excess Mu for tangency portfolio
	Set of possible values for excess Mu vector
	Normalized STARR ratio
	Simple return
	Simple annual rate of return
	Weight in riskless asset
	Vector of portfolio weights, corresponding to risky assets
	Vector of portfolio weights for GMV portfolio
	Vector of portfolio weights for tangency portfolio
	Vector of portfolio weights for Merton portfolio
	Vector of portfolio weights for "three-fund" portfolio
	Set of admissible portfolios
	Risk-adjusted expected excess rate of return
	Logarithmic return, calculated on [0,T] period
	Simple annual rate of return, calculated on [0,T] period
	Expected logarithmic rate of return, calculated on [0,T] period
	Portfolio expected excess growth rate in the analytical model
	Risk-free rate
	Borrowing rate
	Lending rate
	Determination coefficient in regression
	Target excess growth rate, minimum acceptance excess rate (MAR)
	Volatility vector
	Portfolio volatility
	Vector of expected excess growth rates in the analytical model
	Volatility of GMV portfolio
	Volatility of tangency portfolio
	Sortino ratio
	Normalized Sortino ratio
	Sharpe ratio
	Instantaneous Sharpe ratio
	STARR ratio
	Volatility matrix
	t-statistics vector for instantaneous alphas
	t-statistics matrix for betas
	Investment horizon
	Utility function
	Vector of assets relative contributions to portfolio variance
	Value-at-Risk
	Covariance matrix
	Sample covariance matrix
	Model-implied estimate of covariance matrix
	Covariance matrix for regression residuals