In this note, we examine a particular quadratic program which arises in a variety of financial allocation problems and derive a closed form solution for its first order Lograngian conditions. Our technique bypasses the standard matrix inversion, thus reducing computational effort. As a consequence, larger size portfolios can now be analyzed.
This is the published version. Copyright 1985 by RAIRO.
Karney, D. F., Morse, J. N., and Ben-Israel, A.. "Specifying the systematic risk of portfolios : a closed form solution." RAIRO - Operations Research - Recherche Opérationnelle 19.3 (1985): 243-246. <http://eudml.org/doc/104882>.
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