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December 28th, 2012, 04:47 AM  #1 
Newbie Joined: Dec 2012 Posts: 1 Thanks: 0  Eigenvalues & Eigenvectors applied to Portfolio Optimization
Hi. I am busy working through a paper i came accross online on portfolio optimization. The paper may be accessed on the following link: http://ssrn.com/abstract=1483412 I am struggling, in particular, with the equation 56 on page 4. I am not sure how the authors managed to derive the equation. Why are only the first and last eigenvalues used??? Any ideas would be great!!!! Many thanks in advance. 
January 5th, 2013, 11:49 AM  #2 
Math Team Joined: Sep 2007 Posts: 2,409 Thanks: 6  Re: Eigenvalues & Eigenvectors applied to Portfolio Optimiza
The paper specifically says that they are looking at the "worst case scenarios". And that basically means they are looking at the extremes the smallest and largest eigenvalues.


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