I would like to solve for Y an optimisation problem
Max Y'C + Y'Br + αr0
Subject to : k=sqrt(Y'ΣY)
Y'e + α = 1
Where Y, C and B are columns vector of n lines.
Σ is symetric matrix of n order
e =(1,...1)' and α is a reel parameter.
I did calculus with lagrangian but i fear that i did some error.
So if someone can help to solve this fo Y and α.