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Consider the variance ( risk ) minimization problem ( Pr 1 ) in the notes with the definitions of F _ a , x _
Consider the variance risk minimization problem Pr in the notes with the definitions of
Fa xmin, Rmin, Vmin, Rmax.
Prove that Fa is a convex set.
Assume that Fa What are the conditions that guarantee that the feasible set of Pr is not empty.
Assume that Fa and that V
a Prove that the optimal value pP r is finite, and is attained, and the optimum is unique.
b Prove that the expected return target constraint is active at the optimum, ierT xrpRecall that an inequality constraint is active at a point if it holds with equality at that point.
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