medium · Quantitative Finance numerical
If Σ w = λ 1 represents the First-Order Condition, what is the explicit solution for the weight vector w^* in a fully-invested portfolio?
- w^* = Σ^-1 mathbf1
- w^* = fracΣ^-1 mathbf1mathbf1^top Σ^-1 mathbf1
- w^* = fracmathbf1^top Σ mathbf1Σ mathbf1
- w^* = fracμ^top Σ^-1 μmathbf1^top Σ^-1 mathbf1
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