Producing the tangency portfolio as a corner portfolio

DOI10.1051/RO/2013041MaRDI QIDQ5397703zbMATH OpenOpenAlexFDO

Authors Reza Keykhaei, Mohamad Taghi Jahandideh

Publication date 24 February 2014

Published in RAIRO - Operations Research (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=RO_2013__47_3_311_0/

zbMATH Keywords

parametric quadratic programmingmean-variance optimizationtangency portfoliocritical line algorithmcapital allocation line

Mathematics Subject Classification ID

Quadratic programming (90C20) Multi-objective and goal programming (90C29) Portfolio theory (91G10)

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Cited in

(2)

• Tangency portfolios in the lp solvable portfolio selection models
• Theoretically scrutinizing kinks on efficient frontiers and computationally reporting nonexistence of the tangent portfolio for the capital asset pricing model by parametric-quadratic programming

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