Notes on the Markowitz portfolio selection method

J. Kriens and J. Th. van Lieshout

Statistica Neerlandica, 1988, vol. 42, issue 3, 181-191

Abstract: A proof of the validity of Markowitz's critical line method is given for a more general situation than discussed by Markowitz. Next for the Markowitz case with a positive definite covariance matrix explicit expressions are derived for all efficient portfolios. Using these expressions it can be shown that the critical line in the (μ,α2) plane is a representation of a function which is not necessarily differentiable everywhere.

Date: 1988
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