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Chapter 5: Convex Optimization

Chapter 5: Convex Optimization

pp. 159-186

Authors

, California Institute of Technology
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Summary

In the previous chapter, we saw that finding a Markowitz efficient frontier in an equality-constrained setting was simple: just use Lagrange multipliers and specify a closed-form solution. But finding an efficient frontier got more complicated in Section 4.1.3 when the constraints were inequalities. The example we used there with only three assets was simple enough to think through explicitly.

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