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Markowitz's model with Euclidean vector spaces
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DOI：10.1016/j.ejor.2008.04.021.png)
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摘要
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In this paper a new approach of the Markowitz's model is presented. Indeed, using an inner product, a quantitative and explicit solution for optimal portfolio selection is given. To do this, a scalar product is defined in R-n which allows us to calculate the composition of the optimal portfolio and the variance for a given expected return by means of the distance between the subspace of feasible solutions and the origin of the affine space. (c) 2008 Elsevier B.V. All rights reserved.
Keyword:
Markowitz's model
Portfolio selection
Short sales
Efficient frontier
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IF:
6
论文数:
2.2W
被引数:
6.4W
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