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A note on calculating the optimal risky portfolio

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Author Info
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.

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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 5 (2001)
Issue (Month): 3 ()
Pages: 413-417
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
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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Related research
Keywords: Mean-variance optimization; optimal risky portfolio;

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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