Producing the tangency portfolio as a corner portfolio

DOI10.1051/RO/2013041zbMATH Open1282.91304OpenAlexW1986130135MaRDI QIDQ5397703FDOQ5397703

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/

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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)

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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