题目2005 · 数学
Convexity of a Two-Asset Quadratic With a Balance-Sheet Term 10
Show that H(w_1,w_2)=2w_1^2+5w_2^2+3(w_1+w_2)^2 is convex.
打开 →找到 3 个结果
中文题目题目2007 · 数学
Three-Sleeve Convex Balance-Sheet Penalty 12
The third sleeve is much more expensive on its own, but the aggregate term still preserves convexity. Prove that F(w_1,w_2,w_3) = 1w_1^2 + 4w_2^2 + 9w_3^2 + 2(w_1+w_2+w_3)^2 is convex.
打开 →题目1998 · 数学
Convex Portfolio Penalty With Aggregate Exposure 3
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.
打开 →