What is the process of writing linear constraints for the following for example?
Let stocks be partitioned by capitalization: large, medium and small. We are looking for the portfolio to be divided evenly between large and medium cap stocks, and the investment in small cap stocks to be between two and three times the investment in large cap stocks.
How would one start this off?
Any help is really appreciated. I will edit the post as I am making progress.
Extract the relevant pieces of information:
"evenly between large and medium",
"small between two and three times large".
This translates to $l=m,2l\le s\le 3l$.