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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. Bastien Drut, 2010. "Social responsibility and mean-variance portfolio selection," Working Papers CEB 10-002.RS, ULB -- Universite Libre de Bruxelles.
    2. Bastien Drut, 2010. "Sovereign Bonds and Socially Responsible Investment," Journal of Business Ethics, Springer, vol. 92(1), pages 131-145, April.
    3. 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.
    4. Tsaur, Ruey-Chyn, 2013. "Fuzzy portfolio model with different investor risk attitudes," European Journal of Operational Research, Elsevier, vol. 227(2), pages 385-390.
    5. 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(1), pages 1-15, July.
    6. Zinoviy Landsman & Udi Makov & Tomer Shushi, 2018. "A Generalized Measure for the Optimal Portfolio Selection Problem and its Explicit Solution," Risks, MDPI, vol. 6(1), pages 1-15, March.
    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. Ruey-Chyn Tsaur & Chien-Liang Chiu & Yin-Yin Huang, 2021. "Fuzzy Portfolio Selection in COVID-19 Spreading Period Using Fuzzy Goal Programming Model," Mathematics, MDPI, vol. 9(8), pages 1-15, April.
    9. Fletcher, Jonathan, 2021. "International equity U.S. mutual funds and diversification benefits," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 246-257.
    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.
    11. Zhang, Wei-Guo & Zhang, Xi-Li & Xu, Wei-Jun, 2010. "A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 493-499, June.
    12. Riccardo Lucchetti & Mihaela Nicolau & Giulio Palomba & Luca Riccetti, 2022. "Reconciling TEV and VaR in Active Portfolio Management: A New Frontier," Working Papers 461, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    13. Grauer, Robert R. & Janmaat, Johannus A., 2004. "The unintended consequences of grouping in tests of asset pricing models," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2889-2914, December.
    14. Leung, Andrew P., 2011. "Reactive investment strategies," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 89-99, July.
    15. 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.
    16. Michael J. Best & Robert R. Grauer, 2017. "Humans, Econs and Portfolio Choice," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 1-30, June.
    17. Z. Landsman & U. Makov & T. Shushi, 2020. "Portfolio Optimization by a Bivariate Functional of the Mean and Variance," Journal of Optimization Theory and Applications, Springer, vol. 185(2), pages 622-651, May.
    18. 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.
    19. 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.
    20. Yin-Yin Huang & Ruey-Chyn Tsaur & Nei-Chin Huang, 2022. "Sustainable Fuzzy Portfolio Selection Concerning Multi-Objective Risk Attitudes in Group Decision," Mathematics, MDPI, vol. 10(18), pages 1-15, September.
    21. Ruey-Chyn Tsaur, 2015. "Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions," International Journal of Systems Science, Taylor & Francis Journals, vol. 46(3), pages 438-450, February.
    22. Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, vol. 56(6), pages 905-923, June.

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