Geometry of unconditionally efficient portfolios formed with conditioning information: the efficient semicircle

DOI10.1080/14697688.2020.1837922zbMath1497.91283OpenAlexW3130757518MaRDI QIDQ5014222

Andrew F. Siegel

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1837922

zbMATH Keywords

portfolio weightSharp ratiounconditionally efficient portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models

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