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Max V= n i=1 w i m i -1/2 n i=1 n j=1 w i w j sigma ij subject to n i=1 w i
Max V= n i=1 wimi -1/2 ni=1 nj=1 wi wj sigmaij
subject to ni=1 wi =1
Write down the KKT conditions for an optimal portfolio.
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Quantitative Financial Risk Management
Authors: Constantin Zopounidis, Emilios Galariotis
1st Edition
1118738187, 978-1118738184
