I'm trying to proof Proposition 1 in this Paper about Markowitz Portfolio Opitimization on page 6/7 but I can't figure out how to do this. The author wrote "The proof of Proposition 1 can be found from many references in the literature", but I couldn't find it anywhere. Does anyone know where can I find the proof of this theorem? Or at least give some hint how to solve it ( From my research I suppose that I have to use conditional extremum Lagrange multipliers method but I don't know how)?
Portfolio optimization - problem with a proof
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optimization
finance