500+ quant interview questions for Jane Street, Citadel, Two Sigma, DE Shaw, and other top quantitative finance firms.
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Difficulty: Easy
Category: portfolio_optimization
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Topics: portfolio-optimization, quadratic-programming, numpy, covariance-matrix
Global Minimum Variance Portfolio (GMVP) construction is a cornerstone of quantitative portfolio management, enabling the creation of risk-minimizing allocations. Systematic funds use GMVP, especially when expected returns are unreliable, with the long-only case requiring quadratic programming and the unconstrained case admitting an analytical solution. Task Implement the function solution(cov: listlistfloat, allow_short: bool = False) -> listfloat that computes the Global Minimum Variance Port
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