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Old 10-28-2005, 01:14 AM
edtost edtost is offline
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Join Date: Feb 2004
Location: Princeton
Posts: 15
Default Re: Minimum variance portfolio...

solve it as a linear program.

unfortunately, i'm really bad at that, and am far away from my books on the subject...hopefully someone else will chime in. i think you're looking for something like the "simplex method".
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