怎么没人回复啊？自己顶一个。

没人过问？再顶

没有这方面的高人吗

Suppose the original question has a solution, say x = (x1,... ,xn) which is the weight assigned to securities a1,... an.  Now we have another security b.  Consider the weight (x1,...,xn,0), which should have a variance larger than or equal to the variance of  the solution weight of the second question while satisfies all the constraints as (x1,...,xn) is the solution of the original question.