Portfolio analysis -- an analytic derivation of the efficient portfolio frontier

DOI10.1016/0377-2217(86)90295-XzbMATH Open0582.90006MaRDI QIDQ1068675FDOQ1068675

Authors: B. George 

Publication date: 1986

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

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zbMATH Keywords

financeefficient portfolio frontierparametrical quadratic programming

Mathematics Subject Classification ID

Quadratic programming (90C20) Applications of mathematical programming (90C90) Portfolio theory (91G10) Sensitivity, stability, parametric optimization (90C31)

Cites Work

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Cited In (38)

• Risk-tolerant optimal efficient portfolios
• Producing the tangency portfolio as a corner portfolio
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• Bruno de Finetti and the case of the critical line's last segment
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• Composition of an efficient portfolio in the Bielecki and Pliska market model
• Decision support models in climate policy
• On admissible efficient portfolio selection problem
• The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity
• Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
• An analytical derivation of the efficient surface in portfolio selection with three criteria
• Impossible frontiers
• Positive weights on the efficient frontier
• Title not available (Why is that?)
• An analytic derivation of the efficient frontier in biobjective cash management and its implications for policies
• An analytic derivation of admissible efficient frontier with borrowing
• Geometry of unconditionally efficient portfolios formed with conditioning information: the efficient semicircle
• Title not available (Why is that?)
• Impact on the efficient frontier of portofolio of varying capital structure.
• On the number of securities which constitute an efficient portfolio
• Fuzzy chance-constrained portfolio selection
• Two sided efficient frontiers at multiple time horizons
• Expected model for portfolio selection with random fuzzy returns
• Reactive investment strategies
• Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
• A REVISED GEOMETRY OF MEAN‐VARIANCE EFFICIENT PORTFOLIOS
• Possibilistic mean-standard deviation models to portfolio selection for bounded assets
• On admissible efficient portfolio selection: models and algorithms
• A dynamic view of the portfolio efficiency frontier
• On admissible efficient portfolio selection policy
• Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions
• Weighted portfolio selection models based on possibility theory
• Title not available (Why is that?)
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• A class of on-line portfolio selection algorithms based on linear learning
• The efficient frontier for bounded assets
• A fuzzy portfolio selection method based on possibilistic mean and variance

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