On a particular mapping in Rn
AbstractIn this working paper we study some properties of a particular mapping in Rn related to an optimization problem with one equality constraint. We motivate the definition of the relevant mapping starting from a portfolio selection problem, in which we minimize the risk of an investment (the variance of its return) with one equality constraint given by a fixed level of the return itself. The vector of the optimal portfolio is given by a particular mapping of the vector of returns and this mapping is taken into consideration. All the properties of this mapping may of course be considered in the more general context of an optimization problem with one equality contraint, but some of them may be reasonably extended in the further general case of more equality contraints. Although it has not been investigated in this work, some results may have a relevant meaning in explaining the relation between the vector of expected returns and the optimal portfolio.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University of Verona, Department of Economics in its series Working Papers with number 68/2009.
Date of creation: Dec 2009
Date of revision:
Portfolio selection; constrained optimization; linear mapping;
Find related papers by JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael Reiter).
If references are entirely missing, you can add them using this form.