The Markowitz Framework

Pierre Brugière
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Pierre Brugière: University Paris Dauphine-PSL

Chapter Chapter 3 in Quantitative Portfolio Management, 2020, pp 27-50 from Springer

Abstract: Abstract We present here the mathematical framework under which the “Markowitz problem” of maximising the expected return of a portfolio under a risk constraint is solved.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-030-37740-3_3

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DOI: 10.1007/978-3-030-37740-3_3

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