The Feasible Set: A General Formulation

Eliezer Prisman

Chapter 6 in Lecture Notes in Investment:Investment Fundamentals, 2020, pp 121-146 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In the case of a market with only two risky assets, finding the feasible set is simple, as it involves only the span of the possible combinations of the two assets. Once the expected value of the portfolio is given, the portfolio composition is determined and consequently its variance is also determined. In the general case however, where N risky assets exist, there are many possibilities of generating a portfolio with a given expected value, and thus, an optimization problem must be solved to identify the one with the minimal variance and, consequently, the efficient frontier…

Keywords: Equality Markets; Bond Markets; Investment Fundamentals (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 2020
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