MIE376 Lec 5 - NLPQPv2.page23

MIE376 Lec 5 - NLPQPv2.page23 - Quadratic Programming Max...

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MIE376 - Mathematical Programming 23 Quadratic Programming ± Max ½ x T Qx + b T x subject to Ax b, x 0 ± Classical application in finance ² Optimal portfolios ² Minimize risk subject to
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