The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
A risk measure in a portfolio selection problem is linear programming (LP) solvable, if
it has a linear formulation when the asset returns are represented by discrete random
variables, , they are defined by their realizations under specified
scenarios. The efficient frontier corresponding to an LP solvable model is a piecewise
linear curve. In this paper we describe a method which realizes and produces a tangency
portfolio as a by-product during...
One-fund theorem states that an efficient portfolio in a Mean-Variance (M-V) portfolio selection problem for a set of some risky assets and a riskless asset can be represented by a combination of a unique risky fund (tangency portfolio) and the riskless asset. In this paper, we introduce a method for which the tangency portfolio can be produced as a corner portfolio. So, the tangency portfolio can be computed easily and fast by any algorithm designed for tracing out the M-V efficient frontier via...
A risk measure in a portfolio selection problem is linear programming (LP) solvable, if
it has a linear formulation when the asset returns are represented by discrete random
variables, , they are defined by their realizations under specified
scenarios. The efficient frontier corresponding to an LP solvable model is a piecewise
linear curve. In this paper we describe a method which realizes and produces a tangency
portfolio as a by-product during...
Download Results (CSV)