Impossible frontiers

DOI10.1287/MNSC.1100.1157MaRDI QIDQ3117288zbMATH OpenOpenAlexFDO

Authors Thomas J. Brennan, Andrew W. Lo

Publication date 27 February 2012

Published in Management Science (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1721.1/66518

zbMATH Keywords

mean-variance analysisportfolio optimizationshort selling

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Positive weights on the efficient frontier
• Portfolio analysis -- an analytic derivation of the efficient portfolio frontier
• A note on the kinks at the mean variance frontier
• Mean--variance efficient portfolios with many assets: 50\% short
• A REVISED GEOMETRY OF MEAN‐VARIANCE EFFICIENT PORTFOLIOS

Cited in

(13)

• Special issue: Impossible worlds
• Mean-variance analysis and the modified market portfolio
• The benefits of differential variance-based constraints in portfolio optimization
• Two sided efficient frontiers at multiple time horizons
• scientific article; zbMATH DE number 1839869 (Why is no real title available?)
• Mean--variance efficient portfolios with many assets: 50\% short
• Principal eigenportfolios for U.S. equities
• Application of Luenberger shortage function on the Zagreb stock exchange: analysis of efficient market portfolio
• Positive weights on the efficient frontier
• An Impossible Asylum
• Theoretically scrutinizing kinks on efficient frontiers and computationally reporting nonexistence of the tangent portfolio for the capital asset pricing model by parametric-quadratic programming
• Investments: the (almost) century of Markowitz. Harry Markowitz: portfolio selection scholar, simulation creator, and applied investment researcher and consultant extraordinaire
• What kind of new asset will push up the CML?

This page was built for publication: Impossible frontiers

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3117288)