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Tangency portfolios in the LP solvable portfolio selection models

Reza KeykhaeiMohamad Taghi Jahandideh — 2012

RAIRO - Operations Research

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...

Producing the tangency portfolio as a corner portfolio

Reza KeykhaeiMohamad-Taghi Jahandideh — 2013

RAIRO - Operations Research - Recherche Opérationnelle

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...

Tangency portfolios in the LP solvable portfolio selection models

Reza KeykhaeiMohamad Taghi Jahandideh — 2012

RAIRO - Operations Research

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...

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