Consider an investor who must allocate her wealth to \(n\) assets. The return of each asset, indexed by , is a random variable \(R_{i}\) with expected value . Asset allocations may be expressed by decision variables \(w_{i}\), representing the fraction of wealth invested in asset \(i\). If we rule out short-selling, these decision variables are naturally bounded by . If we assume that the investor should just maximize expected return, she should solve the problem

Data From Equation (2.1)

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i = 1,...,n