A note on calculating the optimal risky portfolio

Given a number of risky assets and a riskless asset, the set of efficient portfolios in the mean-variance optimization sense are combinations of the riskless asset and a unique optimal risky portfolio. This note shows how a simple modification of Markowitz' method of critical lines can be used to determine the optimal risky portfolio in a faster, more reliable, and more memory-efficient way than the standard approaches.

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Year of publication:	2001-07-12
Authors:	Tütüncü, Reha H.
Published in:	Finance and Stochastics. - Springer. - Vol. 5.2001, 3, p. 413-417
Publisher:	Springer
Subject:	Mean-variance optimization \| optimal risky portfolio

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Extent:	application/pdf
Type of publication:	Article
Notes:	received: June 2000; final version received: September 2000
Classification:	G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005390648