Note--A Simplified Expression for the Efficient Frontier in Mean-Variance Portfolio Analysis

Stephen A. Buser
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Stephen A. Buser: The Ohio State University

Management Science, 1977, vol. 23, issue 8, 901-904

Abstract: The identification of an important but previously overlooked technical property of minimum-variance portfolios greatly simplifies both the derivation of and the expression for the efficient frontier in mean-variance portfolio analysis. These simplifications permit a corresponding reduction in the analytics required to examine and to interpret essential properties of the model including comparative-static results and mutual-fund theorems.

Date: 1977
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:23:y:1977:i:8:p:901-904

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