Solution to the Markowitz Optimization Problem

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 3 in Mathematical Financial Economics, 2015, pp 19-25 from Springer

Abstract: Abstract The chapter continues the study of the Markowitz model. The reader will learn how to compute an efficient portfolio with the given risk tolerance. The highlight is an explicit formula for efficient portfolios, rigorously derived and comprehensively discussed. The chapter analyses the minimum variance portfolio and the return-generating self-financing portfolio involved in the solution to the Markowitz optimization problem. It concludes with explaining the linear structure of the set of efficient portfolios.

Keywords: Random Vector; Optimal Portfolio; Portfolio Selection; Matrix Versus; Inverse Matrix (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_3

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DOI: 10.1007/978-3-319-16571-4_3

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