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The Feasible Set: A General Formulation

In: Lecture Notes in Investment Investment Fundamentals

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  • Eliezer Prisman

Abstract

In the case of a market with only two risky assets, finding the feasible set is simple, as it involves only the span of the possible combinations of the two assets. Once the expected value of the portfolio is given, the portfolio composition is determined and consequently its variance is also determined. In the general case however, where N risky assets exist, there are many possibilities of generating a portfolio with a given expected value, and thus, an optimization problem must be solved to identify the one with the minimal variance and, consequently, the efficient frontier…

Suggested Citation

  • Eliezer Prisman, 2020. "The Feasible Set: A General Formulation," World Scientific Book Chapters, in: Lecture Notes in Investment Investment Fundamentals, chapter 6, pages 121-146, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811219566_0006
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    More about this item

    Keywords

    Equality Markets; Bond Markets; Investment Fundamentals;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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