A note on the kinks at the mean variance frontier

DOI10.1016/S0377-2217(97)00389-5zbMath0959.91023MaRDI QIDQ1806901

Yanyan Li

Publication date: 2 May 2001

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

portfolio analysisparametric quadratic programming

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Quadratic programming (90C20) Sensitivity, stability, parametric optimization (90C31)

Related Items (2)

On analyzing and detecting multiple optima of portfolio optimization ⋮ Theoretically scrutinizing kinks on efficient frontiers and computationally reporting nonexistence of the tangent portfolio for the capital asset pricing model by parametric-quadratic programming

Cites Work

• The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity

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