I was working on my finical math homework where I need to find the minimum variance portfolio. I need to use the following matrix expression.
Nowhere in the class notes does the instructor say what the u vector in the above expression is. At first I thought it was the expected returns of each portfolios (however that would be the m vector). I reverse engineered the result of an example and it appears the u is just a vector of all ones. Not sure if this is a finance thing or a matrix algebra thing. Does u stand for unit vector as in a vector of all ones? What does it mean?
