On Markowitz Geometry

Valentin Vankov Iliev

Papers from arXiv.org

Abstract: By Markowitz geometry we mean the intersection theory of ellipsoids and affine subspaces in a real finite-dimensional linear space. In the paper we give a meticulous and self-contained treatment of this arch-classical subject, which lays a solid mathematical groundwork of Markowitz mean-variance theory of efficient portfolios in economics.

Date: 2017-07, Revised 2018-09
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1707.03588

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