## Abstract

We present an explicit closed form solution of the problem of minimizing the root of a quadratic functional subject to a system of affine constraints. The result generalizes Z. Landsman, Minimization of the root of a quadratic functional under an affine equality constraint, J. Comput. Appl. Math. 2007, to appear, see 〈http://www.sciencedirect.com/science/journal/03770427〉, articles in press, where the optimization problem was solved under only one linear constraint. This is of interest for solving significant problems pertaining to financial economics as well as some classes of feasibility and optimization problems which frequently occur in tomography and other fields. The results are illustrated in the problem of optimal portfolio selection and the particular case when the expected return of finance portfolio is certain is discussed.

Original language | English |
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Pages (from-to) | 739-748 |

Number of pages | 10 |

Journal | Journal of Computational and Applied Mathematics |

Volume | 220 |

Issue number | 1-2 |

DOIs | |

State | Published - 15 Oct 2008 |

## Keywords

- Covariance
- Minimization
- Optimal portfolio management
- Root of quadratic functional
- System of linear constraints

## ASJC Scopus subject areas

- Computational Mathematics
- Applied Mathematics