Hi guys, I need help for a really easy maximization.
Max E(r)=(mean vector)*(weight vector)'
I want to max the return by changing the weight vector (variable). The mean vector is constant.
The constraints are : (vector of 1's)*(weight vector)' = 1 %weights sum to 1
lb wi >= 0
ub wi =< 1
The solution should give me the Max E(r) and the corresponding (weight vector).
Thank you.
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