Tangency portfolios in the LP solvable portfolio selection models
Reza Keykhaei, Mohamad Taghi Jahandideh (2012)
RAIRO - Operations Research
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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...