Specifying the systematic risk of portfolios : a closed form solution
نویسندگان
چکیده
— In this note, we examine a particular quadratic program which arises in a variety of financial allocation problems and dérive a closed form solution for its first order Lagrangian conditions. Our technique bypasses the standard matrix inversion, thus reducing computational effort. As a conséquence, larger size portfolios can now be anaiyzed.
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