Math Problem Statement
Solution
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Math Problem Analysis
Mathematical Concepts
Portfolio Optimization
Covariance Matrix
Linear Algebra
Risk Management
Formulas
w_GMV = Σ^(-1) * 1 / (1^T * Σ^(-1) * 1)
w_optimal = λ Σ^(-1) * 1 + μ Σ^(-1) * r̄
Theorems
Global Minimum-Variance Portfolio
Optimal Portfolio Theory
Markowitz Portfolio Optimization
Suitable Grade Level
University (Finance/Mathematics)
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