Producing the tangency portfolio as a corner portfolio
نویسندگان
چکیده
منابع مشابه
Efficient computation of the tangency portfolio by linear programming
In several problems of portfolio selection the reward-risk ratio criterion is optimized to search for a risky portfolio offering the maximum increase of the mean return, compared to the risk-free investment opportunities. In the classical model, following Markowitz, the risk is measured by the variance thus representing the Sharpe ratio optimization and leading to the quadratic optimization pro...
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ژورنال
عنوان ژورنال: RAIRO - Operations Research
سال: 2013
ISSN: 0399-0559,1290-3868
DOI: 10.1051/ro/2013041