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Properties of Efficient Portfolios

In: Mathematical Financial Economics

Author

Listed:
  • Igor V. Evstigneev

    (University of Manchester)

  • Thorsten Hens

    (University of Zurich)

  • Klaus Reiner Schenk-Hoppé

    (University of Manchester)

Abstract

The chapter looks more closely at the properties of efficient portfolios. It introduces the four “magic numbers” A, B, C and D through which characteristics of these portfolios can be expressed. It is shown how to give a complete description in terms of A, B, C and D of the efficient frontier in the $∖sigma$-$m$ plane and in the $∖sigmaˆ{2}$-$m$ plane. A key result is a two-fund theorem, which is formulated and proved. The chapter concludes with a geometric illustration of the two-fund theorem.

Suggested Citation

  • Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2015. "Properties of Efficient Portfolios," Springer Texts in Business and Economics, in: Mathematical Financial Economics, edition 127, chapter 4, pages 27-32, Springer.
    • Handle: RePEc:spr:sptchp:978-3-319-16571-4_4
    DOI: 10.1007/978-3-319-16571-4_4
    as

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