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Solution to the Markowitz Optimization Problem

In: Mathematical Financial Economics

Author

Listed:
  • Igor V. Evstigneev

    (University of Manchester)

  • Thorsten Hens

    (University of Zurich)

  • Klaus Reiner Schenk-Hoppé

    (University of Manchester)

Abstract

The chapter continues the study of the Markowitz model. The reader will learn how to compute an efficient portfolio with the given risk tolerance. The highlight is an explicit formula for efficient portfolios, rigorously derived and comprehensively discussed. The chapter analyses the minimum variance portfolio and the return-generating self-financing portfolio involved in the solution to the Markowitz optimization problem. It concludes with explaining the linear structure of the set of efficient portfolios.

Suggested Citation

  • Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2015. "Solution to the Markowitz Optimization Problem," Springer Texts in Business and Economics, in: Mathematical Financial Economics, edition 127, chapter 3, pages 19-25, Springer.
    • Handle: RePEc:spr:sptchp:978-3-319-16571-4_3
    DOI: 10.1007/978-3-319-16571-4_3
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    Cited by:

    1. Ahmar, Ansari Saleh & Arifin, Andi Nurani Mangkawani, 2017. "Optimalisasi Risiko Saham Menggunakan Optimalisasi Portofolio Markowitz (Studi Kasus Saham Di Indonesia)," INA-Rxiv 5v27k, Center for Open Science.

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