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There is no generic solution. However, the KKT conditions are of the forms \begin{align*} \begin{cases} Qy + \lambda_1 \mu +\lambda_2 Py = 0,\\ \mu^T y = 1,\\ y^TPy \leq k^2 \sigma^2,\\ \lambda_2 \big( y^TPy - k^2 \sigma^2\big) = 0. \end{cases} \end{align*} Here, the condition $$\lambda_2 \big( y^TPy - k^2 \sigma^2\big) = 0$$ means that two cases need to ...