New light on the portfolio allocation problem
type: Item
instance of: scholarly article
title: New light on the portfolio allocation problem
zbMATH Open document ID: 1058.91041
published in: Mathematical Methods of Operations Research
publication date: 2003-06-23T00:00:00Z
review text: This paper defines the Sharpe ratio of an asset portfolio as its expected return divided by its standard deviation. The paper studies the maximization of this functional, restricted only by the ``full investment'' constraint; short sales are allowed. It solves the optimization problem explicitly and shows that there are two solutions, depending on a sign condition. One solution is the one usually presented in textbooks. The other cannot be achieved exactly for a specified portfolio allocation but can be approached as closely as desired.
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 1932776
zbMATH Keywords: Markowitz mean-variance optimization
zbMATH Keywords: efficient frontier
zbMATH Keywords: Sharpe ratio
author: Ross A. Maller
author: Darrell A. Turkington
reviewed by: E. S. W. Shiu
MaRDI profile type: Publication
full work available at URL: s001860200211
OpenAlex ID: W2067377639
DOI: 10.1007/S001860200211
description: scientific article; zbMATH DE number 1932776