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Quantitative Equity Portfolio Management by Daehwan Kim, Ludwig B Chincarini

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APPENDIX 9AQuadratic Programming

For most of the portfolio optimization problems that a portfolio manager will encounter, a general quadratic optimization routine will enable him or her to construct the portfolio given his or her objectives.1 Most commercial softwares packages employ some form of the concepts we will describe below. For portfolio managers who build their own risk models and optimizers, the standard packages have versions of the quadratic programming techniques we will discuss below.2

The general quadratic programming problem can be expressed

as

image

where x is the vector of unknowns in the problem, Q is a symmetric positive semidefinite ...

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