A note on the kinks at the mean variance frontier

DOI10.1016/S0377-2217(97)00389-5zbMATH Open0959.91023MaRDI QIDQ1806901FDOQ1806901

Authors: Yanyan Li 

Publication date: 2 May 2001

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

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zbMATH Keywords

parametric quadratic programmingportfolio analysis

Mathematics Subject Classification ID

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

Cites Work

• The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity

Cited In (8)

• Portfolio analysis -- an analytic derivation of the efficient portfolio frontier
• Title not available (Why is that?)
• The mean-variance relation: a 24-hour story
• On analyzing and detecting multiple optima of portfolio optimization
• Impossible frontiers
• Title not available (Why is that?)
• Theoretically scrutinizing kinks on efficient frontiers and computationally reporting nonexistence of the tangent portfolio for the capital asset pricing model by parametric-quadratic programming
• A REVISED GEOMETRY OF MEAN‐VARIANCE EFFICIENT PORTFOLIOS

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