Constrained optimization usually involves an additional constraint that: | A) | all asset class weights are positive. |
| | B) | asset class weights add up to 1. |
| C) | all asset class weights are non-negative. |
| | D) | some asset class weights are positive. |
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Answer and Explanation
The weight of all asset classes adding up to one is part of un-constrained optimization. Constrained optimization has an additional constraint that the weights of all the asset classes should be non-negative. | 
发表于 2008-9-17 11:09
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