Markowitz's model with Euclidean vector spaces

DOI10.1016/J.EJOR.2008.04.021MaRDI QIDQ1041996zbMATH OpenOpenAlexFDO

Authors Salvador Cruz Rambaud, José García Pérez, Juan Evangelista Trinidad Segovia, Miguel Angel Sanchez Granero

Publication date 7 December 2009

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

Full work available at URL https://doi.org/10.1016/j.ejor.2008.04.021

zbMATH Keywords

portfolio selectionefficient frontiershort salesMarkowitz's model

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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(4)

• Mean-variance portfolio selection in presence of infrequently traded stocks
• A geometric point of view on mean-variance models
• Objective comparisons of the optimal portfolios corresponding to different utility functions
• A network approach to risk theory and portfolio selection

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