The mth elementary symmetric polynomial of degree n
is the sum of all terms containing a product of m variables. So, for example,
These polynomials came up in the previous post. The problem was choosing weights to minimize the variance of a weighted sum of random variables can be solved using elementary symmetric polynomials.
To state the optimization problem more generally, suppose you want to minimize
where the ti and xi are positive and the ti sum to 1. You can use Lagrange multipliers to show that the solution is