Re: st: Re: Finding a vector minimizing the variance with Stata 8.2

[Marcello Pagano <pagano@hsph.harvard.edu>]

Presumably you want the minimum subject to w'w=1.
In that case get the smallest singular value of V --- findit  singular 
value --

m.p.

Michael Blasnik wrote:


> How about w=0?    ;)
>
> M Blasnik
>
> ----- Original Message ----- From: "Kristin J. Kleinjans" 
> <kkleinjans@econ.dk>
> To: <statalist@hsphsun2.harvard.edu>
> Sent: Monday, July 17, 2006 9:27 AM
> Subject: st: Finding a vector minimizing the variance with Stata 8.2
>
>
>
> > Dear Statalist,
> > I need to find a vector w such that
> > X=w'V w is minimized, where V is a variance-covariance matrix. I use 
> > Stata
> > 8.2 - does anybody know if there is a way to do this?
> >
> > Thank you,
> > Kristin
>
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