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I should minimize the variance wƩw, subject to 3 constraints. I want no short selling (w_i >= 0), and I want an equally weighted portfolio (w_i=w_j). 

min  wƩw
 w
   s.t.
 w_i >= 0 for all i
 sum(w) = 1
 w_i= 1/n 

# where n is the number of assets in order to have an equally weighted portfolio

Does anyone if it is possible, and if so, how to do it?

Or, given the fact that the weights must be equal it does not make sense implement the optimization? Because, I have already set the value of the weights.

Rfun2018
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  • If all your `w_i` are fixed at `1/n`, then what variables are you optimising over??? – Andrew Gustar Apr 14 '18 at 17:41
  • Right! As I have written, it does make sense doing the optimization because I have already set the values of the weights equal to 1/n. I was a little bit confused because I found it in an exercise. Thank you a lot for your answer! – Rfun2018 Apr 14 '18 at 17:46

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