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Maximise the probability of a linear combination of random variables
I have a data set representing a random vector $\mathbf{X}=(X_1,\ldots, X_p)'$.
Define $Z=\alpha' X $, where $\alpha \in \mathbb{R}^p$ and $\alpha'\mathbf{1}_p =1$.
I would like to find the $\alpha$ ...
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