Portfolio analysis -- an analytic derivation of the efficient portfolio frontier (Q1068675): Difference between revisions
From MaRDI portal
Set profile property. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: Q3050123 / rank | |||
Normal rank | |||
Latest revision as of 09:25, 17 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio analysis -- an analytic derivation of the efficient portfolio frontier |
scientific article |
Statements
Portfolio analysis -- an analytic derivation of the efficient portfolio frontier (English)
0 references
1986
0 references
The efficient portfolio frontier is derived explicitly for cases in which short sales are not allowed. When all securities are risky it is shown that the efficient portfolio frontier consists of a series of monotonously increasing arcs of convex parabolas in the return-variance plane. If the efficient portfolio frontier of risky securities is known, the efficient frontier can easily be revealed when there is a riskless security. An upper limit on borrowing is also introduced.
0 references
finance
0 references
parametrical quadratic programming
0 references
efficient portfolio frontier
0 references
