Properties of Efficient Portfolios

Igor V. Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé
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Igor V. Evstigneev: University of Manchester
Thorsten Hens: University of Zurich

Chapter 4 in Mathematical Financial Economics, 2015, pp 27-32 from Springer

Abstract: Abstract The chapter looks more closely at the properties of efficient portfolios. It introduces the four “magic numbers” A, B, C and D through which characteristics of these portfolios can be expressed. It is shown how to give a complete description in terms of A, B, C and D of the efficient frontier in the $∖sigma$-$m$ plane and in the $∖sigmaˆ{2}$-$m$ plane. A key result is a two-fund theorem, which is formulated and proved. The chapter concludes with a geometric illustration of the two-fund theorem.

Keywords: Efficient Portfolio; Efficient Frontier; Geometric Illustration; Magic Number; Markowitz Problem (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-319-16571-4_4

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DOI: 10.1007/978-3-319-16571-4_4

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