A note on calculating the optimal risky portfolio (Q5950468)

This paper deals with the single-period mean-variance optimization model of Markowitz with a number of assets with random returns and a single riskless asset. In this framework all efficient portfolios (portfolios whose expected returns are largest among all portfolios with the same variance) can be represented as a linear combination of the riskless asset and a unique optimal risky portfolio. The author presents a simple modification of the critical line method for the computation of optimal risky portfolios. This modification provides a number of computational advantages in the calculation of the optimal risky portfolio.