IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

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

Author Info

  • Best, Michael J.
  • Grauer, Robert R.
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If 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.

    File URL: http://www.sciencedirect.com/science/article/pii/0148-6195(90)90027-A
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Elsevier in its journal Journal of Economics and Business.

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

    as
    in new window

    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

    Keywords:

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    as in new window


    Cited by:

    1. Bastien Drut, 2009. "Sovereign Bonds and Socially Responsible Investment," EconomiX Working Papers 2009-17, University of Paris West - Nanterre la Défense, EconomiX.
    2. 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.
    3. Bastien Drut, 2010. "Social responsibility and mean-variance portfolio selection," EconomiX Working Papers 2010-3, University of Paris West - Nanterre la Défense, EconomiX.
    4. Leung, Andrew P., 2011. "Reactive investment strategies," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 89-99, July.
    5. 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.
    6. Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, vol. 56(6), pages 905-923, June.
    7. 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.
    8. 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.
    9. 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.
    10. 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.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Access and download statistics

    When requesting a correction, please mention this item's handle: RePEc:eee:jebusi:v:42:y:1990:i:2:p:105-120. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.