Notes on the Markowitz portfolio selection method

DOI10.1111/J.1467-9574.1988.TB01232.XMaRDI QIDQ3354412zbMATH OpenOpenAlexFDO

Authors J. Kriens, Jan Th. van Lieshout

Publication date 1988

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://research.tilburguniversity.edu/en/publications/5571c61b-374f-4f79-b69a-9684b112b434

zbMATH Keywords

financeMarkowitz's critical line methodparametric programming

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to operations research and mathematical programming (90-08) Sensitivity, stability, parametric optimization (90C31) Applications of mathematical programming (90C90) Portfolio theory (91G10)

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Cited in

(11)

• Markowitz's model with Euclidean vector spaces
• Markowitz revisited: social portfolio engineering
• Market graph and Markowitz model
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• A fast Markowitz critical line algorithm
• On a generalization of Markowitz preference relation
• Dotted Representations of Mean-Variance Efficient Frontiers and their Computation
• Theory of portfolios: New considerations on classic models and the Capital Market Line
• Bruno de Finetti and the case of the critical line's last segment

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