Rambaud, Salvador Cruz; Pérez, José García; Granero, … - In: European Journal of Operational Research 196 (2009) 3, pp. 1245-1248
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...