In this paper we combine some algorithms in the literature in order to effectively build the Markowitz efficient frontier, as a solution of the optimal asset allocation problem. The proposed method works for any size of the investment portfolio, and for any reasonable equality and inequality...

This paper argues that in the presence of liquidation costs, portfolio diversification by financial institutions may be socially inefficient. We propose a stylized model in which individual banks have an incentive to hold diversified portfolios. Yet, at the same time, diversification may...

We challenge the hypothesis of the efficient frontier portfolios by using network approach. In a small-world network interacting agents decide upon the portfolio selection solely upon past returns. Simulation results indicate that agents are capable of forming the efficient frontier, whereas...