The following lecture talks about the Markowitz Portfolio Optimization problem in convex optimization. Indeed, many variants of this problem exists, but the classical one looks like this where is an sized vector containing the amount of assets to invest in. The vector is the mean of the relative […]
convex optimization
In this lecture, we talk about equivalent reformulations, that are reformulations done on the initial problem of the form (1) A very interesting question is the following. Assume we got two problems and that are equivalent problems. Are their duals, (hereby denoted by and , respectively) the same ? […]