Closed FrederikIngemannOlsen closed 1 year ago
The equation for the efficient portfolio weight in the book is written as:
\omega_{\text{eff}}(\Bar{\mu}) = \text{arg min $w '\Sigma w$ s.t. $ \omega' \iota = 1$}
When it should rather be:
\omega_{\text{eff}}(\Bar{\mu}) = \text{arg min $\omega '\Sigma \omega$ s.t. $ \omega' \iota = 1$}
The equation for the efficient portfolio weight in the book is written as:
\omega_{\text{eff}}(\Bar{\mu}) = \text{arg min $w '\Sigma w$ s.t. $ \omega' \iota = 1$}
When it should rather be:
\omega_{\text{eff}}(\Bar{\mu}) = \text{arg min $\omega '\Sigma \omega$ s.t. $ \omega' \iota = 1$}