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I know how to algebraically solve for the weights when short selling is allowed but I can’t seem to find the formula for when it’s strictly positive an the weights sum to 1 anywhere online.

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    $\begingroup$ There is no closed formula AFAIK. It requires an iterative algorithm which determines which securites to allow and which to ban from the solution to prevent short positions. The final solution include $m$ securities, with $1<=m<=n$. $\endgroup$ – noob2 Aug 12 at 0:56

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