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Note--A Simplified Expression for the Efficient Frontier in Mean-Variance Portfolio Analysis

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  • Stephen A. Buser

    (The Ohio State University)

Abstract

The identification of an important but previously overlooked technical property of minimum-variance portfolios greatly simplifies both the derivation of and the expression for the efficient frontier in mean-variance portfolio analysis. These simplifications permit a corresponding reduction in the analytics required to examine and to interpret essential properties of the model including comparative-static results and mutual-fund theorems.

Suggested Citation

  • Stephen A. Buser, 1977. "Note--A Simplified Expression for the Efficient Frontier in Mean-Variance Portfolio Analysis," Management Science, INFORMS, vol. 23(8), pages 901-904, April.
    • Handle: RePEc:inm:ormnsc:v:23:y:1977:i:8:p:901-904
    DOI: 10.1287/mnsc.23.8.901
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