1998数学中等derivationmedium
Convex Portfolio Penalty With Aggregate Exposure 3
题目
Each sleeve has its own quadratic penalty, and the whole book also pays for aggregate balance-sheet usage. Prove that F(w_1,w_2,w_3) = 2w_1^2 + 3w_2^2 + 5w_3^2 + 1(w_1+w_2+w_3)^2 is convex.
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