Pricing Perspective: Formalization Blueprint

2.3 Portfolio choice

Theorem 22 Certified minimizer
✓

Every nonempty compact feasible subset of the long-only simplex admits a minimizer of the continuous certified-variance objective. Any pointwise variance certificate on that set is inherited at the minimizer.

Proof ▼

Continuity of the objective and compactness of the nonempty feasible set give existence by the extreme-value theorem; the pointwise certificate then holds at the selected feasible point.