Markowitz's model with Euclidean vector spaces
In this paper a new approach of the Markowitz's model is presented. Indeed, using an inner product, a quantitative and explicit solution for optimal portfolio selection is given. To do this, a scalar product is defined in which allows us to calculate the composition of the optimal portfolio and the variance for a given expected return by means of the distance between the subspace of feasible solutions and the origin of the affine space.
Year of publication: |
2009
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Authors: | Rambaud, Salvador Cruz ; Pérez, José García ; Granero, Sánchez ; Ángel, Miguel ; Segovia, Trinidad ; Evangelista, Juan |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 196.2009, 3, p. 1245-1248
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Publisher: |
Elsevier |
Keywords: | Markowitz's model Portfolio selection Short sales Efficient frontier |
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