Exercise Solution 2.13

  1. Expressed in matrix form [2.91], polynomial [2.93] becomes

    [s1]

    where

    [s2]

    [s3]

    [s4]

  2. Applying the Cholesky algorithm, we obtain Cholesky matrix

    [s5]

    We conclude that the matrix c is positive definite.

  3. By [2.92]

    [s6]

  4. 1
  5. Because the matrix c is positive definite, it is a minimum.

 

Welcome!

Enter your address for insights that will transform your risk management.

Click the link in the email I just sent you to confirm your address and start your subscription.

Defining Risk

Enter your email address to receive your copy and subscribe to Glyn's Risk Management Newsletter.

Click the link in the email I just sent you to download your paper and start your subscription.