April 2015
Intermediate to advanced
340 pages
7h 21m
English
In the previous section, we looked at solving a system of linear equations with inequality constraints. If a set of systematic linear equations has constraints that are deterministic, we can represent the problem as matrices and apply matrix algebra. Matrix methods represent multiple linear equations in a compact manner while using the existing matrix library functions.
Suppose we would like to build a portfolio consisting of 3 securities,
,
and . The allocation of the portfolio must meet certain constraints: ...
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