Markowitz's model with Euclidean vector spaces

DOI10.1016/j.ejor.2008.04.021zbMath1176.91061OpenAlexW2031372258MaRDI QIDQ1041996

Salvador Cruz Rambaud, José García Pérez, Juan Evangelista Trinidad Segovia, Miguel Angel Sánchez-Granero

Publication date: 7 December 2009

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2008.04.021

zbMATH Keywords

portfolio selectionefficient frontiershort salesMarkowitz's model

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items

A Network Approach to Risk Theory and Portfolio Selection ⋮ Mean-variance portfolio selection in presence of infrequently traded stocks ⋮ Objective comparisons of the optimal portfolios corresponding to different utility functions

Cites Work

• Safety First and the Holding of Assets
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