The Markowitz Model with a Risk-Free Asset

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 5 in Mathematical Financial Economics, 2015, pp 33-41 from Springer

Abstract: Abstract The chapter extends the Markowitz model to a financial market with a risk-free asset. It lists the data of the model, states the fundamental assumptions, and describes the Markowitz optimization problem in this setting. A criterion for portfolio efficiency and an explicit formula for an efficient portfolio with the given risk tolerance are derived and discussed.

Keywords: Financial Market; Dimensional Vector; Portfolio Optimization; Portfolio Selection; Risky Asset (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_5

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DOI: 10.1007/978-3-319-16571-4_5

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