A note on calculating the optimal risky portfolio
| Autor: | Reha H. Tütüncü |
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| Rok vydání: | 2001 |
| Předmět: | |
| Popis: | Given a number of risky assets and a riskless asset, the set of efficient portfolios in the mean-variance optimization sense are combinations of the riskless asset and a unique optimal risky portfolio. This note shows how a simple modification of Markowitz' method of critical lines can be used to determine the optimal risky portfolio in a faster, more reliable, and more memory-efficient way than the standard approaches. |
| Databáze: | OpenAIRE |
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