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When allowing short sales, we can solve the weights of the minimum variance portfolio using: Min Var weights =V -1 e/e ‘ V -1 e .
When allowing short sales, we can solve the weights of the minimum variance portfolio using: Min Var weights=V-1e/e’V-1e . V-1is the inverse of the variance/covariance matrix and e is a column vector of ones. What’s the derivation of this formula?
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