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On Markowitz Geometry

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  • Valentin Vankov Iliev

Abstract

By Markowitz geometry we mean the intersection theory of ellipsoids and affine subspaces in a real finite-dimensional linear space. In the paper we give a meticulous and self-contained treatment of this arch-classical subject, which lays a solid mathematical groundwork of Markowitz mean-variance theory of efficient portfolios in economics.

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  • Valentin Vankov Iliev, 2017. "On Markowitz Geometry," Papers 1707.03588, arXiv.org, revised Sep 2018.
    • Handle: RePEc:arx:papers:1707.03588
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    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
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