Producing the tangency portfolio as a corner portfolio

DOI10.1051/RO/2013041zbMATH Open1282.91304OpenAlexW1986130135MaRDI QIDQ5397703

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

mean-variance optimizationparametric quadratic programmingtangency portfoliocritical line algorithmcapital allocation line

Mathematics Subject Classification ID

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

Related Items (1)

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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