Specifying the systematic risk of portfolios : a closed form solution

D. F. Karney; J. N. Morse; A. Ben-Israel

RAIRO - Operations Research - Recherche Opérationnelle (1985)

  • Volume: 19, Issue: 3, page 243-246
  • ISSN: 0399-0559

How to cite

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Karney, D. F., Morse, J. N., and Ben-Israel, A.. "Specifying the systematic risk of portfolios : a closed form solution." RAIRO - Operations Research - Recherche Opérationnelle 19.3 (1985): 243-246. <http://eudml.org/doc/104882>.

@article{Karney1985,
author = {Karney, D. F., Morse, J. N., Ben-Israel, A.},
journal = {RAIRO - Operations Research - Recherche Opérationnelle},
keywords = {systematic risk; pseudo-inverse; financial allocation problems; portfolio selection; first order Lagrangian conditions},
language = {eng},
number = {3},
pages = {243-246},
publisher = {EDP-Sciences},
title = {Specifying the systematic risk of portfolios : a closed form solution},
url = {http://eudml.org/doc/104882},
volume = {19},
year = {1985},
}

TY - JOUR
AU - Karney, D. F.
AU - Morse, J. N.
AU - Ben-Israel, A.
TI - Specifying the systematic risk of portfolios : a closed form solution
JO - RAIRO - Operations Research - Recherche Opérationnelle
PY - 1985
PB - EDP-Sciences
VL - 19
IS - 3
SP - 243
EP - 246
LA - eng
KW - systematic risk; pseudo-inverse; financial allocation problems; portfolio selection; first order Lagrangian conditions
UR - http://eudml.org/doc/104882
ER -

References

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  1. 1. A. BEN-ISRAEL and T. N. GREVILLE, Generalized Inverses: Theory and Application, John Wiley & Sons, New York, 1974. Zbl0451.15004MR396607
  2. 2. R. J. DUFFIN and T. D MORLEY, Almost Definite Operators and Electro-Mechanical Systems, SIAM J. Appl. Math., Vol. 21, 1978, pp. 21-30. Zbl0387.47011MR496067
  3. 3. D. G. LUENBERGER, Optimization by Vector Space Method, John Wiley & Sons, New York, 1969. Zbl0176.12701MR238472
  4. 4. T. H. MCINISH, J. N. MORSE and E. SANIGA, Portfolio Selection to Achieve a Target Beta, RAIRO, Recherche Opérationnelle, Vol. 18, 1984, pp. 131-145. Zbl0545.90005MR761317
  5. J. N. MORSE, Portfolios with Stochastic Betas: Theory and Heuristics for a Mixed Integer Quadratic Programming Problem, in M. GRAUER, A. LEWANDOWSKI and A. WIERZBICKI Eds., Multiobjective and Stochastic Optimization, International Institute for Applied Systems Analysis, Vienna, Austria, 1982, pp. 235-249. 
  6. 6. J. N. MORSE, (1983), Banking in a Volatile World: Setting Country Lending Limits, in P. HANSON Ed., Essays and Surveys on Multiple Criteria Décision Making, Lecture Notes in Economics and Mathematical Systems, No. 209, Springer-Verlag, Lectur Berlin, 1983, pp. 269-279. 
  7. 7. W. F. SHARPE, Investments, 2nd Ed., Prentice-Hall, Englewood Cliffs, New Jersey, 1981. 

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