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√minimize ˜wT Σ ˜ww, ˜w,tsubject to t = 1/ ( )w T µ − r f > 0˜w = tw1 T ˜w = t > 0˜w ≥ 0.• Observe that the first constraint 1/t = w T µ − r f can be rewrittenin terms of ˜w as 1 = (µ − r f 1) T ˜w. So the problem becomes√minimize ˜wT Σ ˜ww, ˜w,tsubject to (µ − r f 1) T ˜w = 1˜w = tw1 T ˜w = t > 0˜w ≥ 0.Daniel P. Palomar 12