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

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  • Best, Michael J.
  • Grauer, Robert R.

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  • Best, Michael J. & Grauer, Robert R., 1990. "The efficient set mathematics when mean-variance problems are subject to general linear constraints," Journal of Economics and Business, Elsevier, vol. 42(2), pages 105-120, May.
  • Handle: RePEc:eee:jebusi:v:42:y:1990:i:2:p:105-120
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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. Lence, Sergio H. & Hayes, Dermot J., 1995. "Land Allocation In The Presence Of Estimation Risk," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 20(01), July.
    3. Bastien Drut, 2010. "Social responsibility and mean-variance portfolio selection," Working Papers CEB 10-002.RS, ULB -- Universite Libre de Bruxelles.
    4. Bastien Drut, 2010. "Sovereign Bonds and Socially Responsible Investment," Journal of Business Ethics, Springer, vol. 92(1), pages 131-145, April.
    5. 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.
    6. Leung, Andrew P., 2011. "Reactive investment strategies," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 89-99, July.
    7. 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.
    8. repec:wsi:qjfxxx:v:07:y:2017:i:02:n:s201013921750001x is not listed on IDEAS
    9. 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.
    10. 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.
    11. Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, vol. 56(6), pages 905-923, June.
    12. repec:gam:jrisks:v:6:y:2018:i:1:p:19-:d:134997 is not listed on IDEAS
    13. 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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