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A note on calculating the optimal risky portfolio

Author

Listed:
  • Reha H. Tütüncü

    (Department of Mathematical Sciences, Carnegie Mellon University, Pittsburgh, PA 15213, USA Manuscript)

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.

Suggested Citation

  • Reha H. Tütüncü, 2001. "A note on calculating the optimal risky portfolio," Finance and Stochastics, Springer, vol. 5(3), pages 413-417.
    • Handle: RePEc:spr:finsto:v:5:y:2001:i:3:p:413-417
    Note: received: June 2000; final version received: September 2000
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    More about this item

    Keywords

    Mean-variance optimization; optimal risky portfolio;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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