. In the absence of constraints, the optimal solution, call it 
, will satisfy 
. If we multiply these first-order conditions by the benchmark weights hB, and recall that 
and α B = 0, we find7The manager’s objective is to maximize . In the absence of constraints, the optimal solution, call it , will satisfy . If we multiply these first-order conditions by the benchmark weights hB, and recall that and α B = 0, we find
