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Risk and Asset Allocation

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Risk and Asset Allocation

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16 Nov 2005 (Updated )

Software for quantitative portfolio and risk management

qinvjmul(labx,frmx,b,K)
%                                          y = qinvjmul(labx,frmx,b,K)
% QINVJMUL  Inverse of Jordan multiply for Lorentz blocks
%
% **********  INTERNAL FUNCTION OF SEDUMI **********
%
% See also sedumi

function y = qinvjmul(labx,frmx,b,K)
%
% This file is part of SeDuMi 1.1 by Imre Polik and Oleksandr Romanko
% Copyright (C) 2005 McMaster University, Hamilton, CANADA  (since 1.1)
%
% Copyright (C) 2001 Jos F. Sturm (up to 1.05R5)
%   Dept. Econometrics & O.R., Tilburg University, the Netherlands.
%   Supported by the Netherlands Organization for Scientific Research (NWO).
%
% Affiliation SeDuMi 1.03 and 1.04Beta (2000):
%   Dept. Quantitative Economics, Maastricht University, the Netherlands.
%
% Affiliations up to SeDuMi 1.02 (AUG1998):
%   CRL, McMaster University, Canada.
%   Supported by the Netherlands Organization for Scientific Research (NWO).
%
% This program is free software; you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation; either version 2 of the License, or
% (at your option) any later version.
%
% This program is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with this program; if not, write to the Free Software
% Foundation, Inc.,  51 Franklin Street, Fifth Floor, Boston, MA
% 02110-1301, USA
%
lorN = length(K.q);
if lorN == 0
    y = zeros(0,1);
    return
end
if length(labx) > 2*lorN
    labx = labx(K.l+1:K.l+2*lorN);
end
detx = labx(1:lorN) .* labx(lorN+1:end);
x = qframeit(labx,frmx,K);
ix = K.mainblks;
if length(b) == ix(3)-ix(1);   % lorentz only ?
    ix = (1-ix(1)) + ix;
end
% ------------------------------------------------------------
% Let y1(k) = xk'Jbk/(sqrt2*detxk)
% ------------------------------------------------------------
y1 = x(1:lorN).*b(ix(1):ix(2)-1) - ddot(x(lorN+1:end),b,K.qblkstart);
y1 = y1./(sqrt(2)*detx);
% ------------------------------------------------------------
% Let y2[k] = (sqrt2/x1)*b2[k] - (y1/x1) * x2[k]
% ------------------------------------------------------------
y = [y1; qblkmul(sqrt(2)./x(1:lorN),b,K.qblkstart)...
    - qblkmul(y1./x(1:lorN),x(lorN+1:end),K.qblkstart)];

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