Markowitz's model with Euclidean vector spaces

Salvador Cruz Rambaud, Jose Pérez (), Miguel Ángel Sánchez Granero and Juan Evangelista Trinidad Segovia
Authors registered in the RePEc Author Service: Juan Evangelista Trinidad-Segovia ()

European Journal of Operational Research, 2009, vol. 196, issue 3, 1245-1248

Abstract: 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 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.

Keywords: Markowitz's; model; Portfolio; selection; Short; sales; Efficient; frontier (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:196:y:2009:i:3:p:1245-1248

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