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Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management

โœ Scribed by Zinoviy Landsman

Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
167 KB
Volume
220
Category
Article
ISSN
0377-0427

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Minimization of the root of a quadratic
Minimization of the root of a quadratic functional under an affine equality constraint
โœ Zinoviy Landsman ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 188 KB

We present a way of solving the problem of minimizing the root of quadratic functional subject to an affine constraint. We give an explicit formula for computing the solutions of such a problem. This is of interest for solving significant problems of financial economics as well as some classes of fe