TL;DR
Mean-Variance Portfolio Optimization: A canonical quantitative trading interview question at intermediate difficulty. Commonly asked at Two Sigma, Citadel, DE Shaw, AQR.
By Valenke Exam Prep Team·Last updated 2026-06-01
intermediateLinear Algebra & Optimization
Mean-Variance Portfolio Optimization
Asked at: Two Sigma, Citadel, DE Shaw, AQR
Problem
Given assets with expected return vector and covariance matrix , find the portfolio weights that minimize variance subject to (target return) and (fully invested). Derive the solution using Lagrange multipliers.
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