A note on calculating the optimal risky portfolio

Reha H. Tütüncü ()
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Reha H. Tütüncü: Department of Mathematical Sciences, Carnegie Mellon University, Pittsburgh, PA 15213, USA Manuscript

Finance and Stochastics, 2001, vol. 5, issue 3, 413-417

Abstract: Given a number of risky assets and a riskless asset, the set of efficient portfolios in the mean-variance optimization sense are combinations of the riskless asset and a unique optimal risky portfolio. This note shows how a simple modification of Markowitz' method of critical lines can be used to determine the optimal risky portfolio in a faster, more reliable, and more memory-efficient way than the standard approaches.

Keywords: Mean-variance optimization; optimal risky portfolio (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2001-07-12
Note: received: June 2000; final version received: September 2000
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