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The efficient set mathematics when mean-variance problems are subject to general linear constraints

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Listed author(s):
  • Best, Michael J.
  • Grauer, Robert R.
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    File URL: http://www.sciencedirect.com/science/article/pii/0148-6195(90)90027-A
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    Article provided by Elsevier in its journal Journal of Economics and Business.

    Volume (Year): 42 (1990)
    Issue (Month): 2 (May)
    Pages: 105-120

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    Handle: RePEc:eee:jebusi:v:42:y:1990:i:2:p:105-120
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconbus

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    Cited by:

    1. Zhang, Wei-Guo & Wang, Ying-Luo, 2008. "An analytic derivation of admissible efficient frontier with borrowing," European Journal of Operational Research, Elsevier, vol. 184(1), pages 229-243, January.
    2. Bastien Drut, 2010. "Social responsibility and mean-variance portfolio selection," Working Papers CEB 10-002.RS, ULB -- Universite Libre de Bruxelles.
    3. Bastien Drut, 2010. "Sovereign Bonds and Socially Responsible Investment," Journal of Business Ethics, Springer, vol. 92(1), pages 131-145, April.
    4. Fletcher, Jonathan & Hillier, Joe, 2002. "On the usefulness of linear factor models in predicting expected returns in mean-variance analysis," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 449-466.
    5. Leung, Andrew P., 2011. "Reactive investment strategies," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 89-99, July.
    6. Fletcher, Jonathan & Hillier, Joe, 2002. "An examination of the economic significance of stock return predictability in UK stock returns," International Review of Economics & Finance, Elsevier, vol. 11(4), pages 373-392.
    7. Bick, Avi, 2004. "The mathematics of the portfolio frontier: a geometry-based approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 337-361, May.
    8. Grauer, Robert R. & Janmaat, Johannus A., 2009. "On the power of cross-sectional and multivariate tests of the CAPM," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 775-787, May.
    9. Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, vol. 56(6), pages 905-923, June.
    10. Bastien Drut, 2009. "Nice but cautious guys: The cost of responsible investing in the bond markets," Working Papers CEB 09-034.RS, ULB -- Universite Libre de Bruxelles.

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