Simplified mean-variance portfolio optimisation

We propose a simplified approach to mean-variance portfolio problems by changing their parametrisation from trading strategies to final positions. This allows us to treat, under a very mild no-arbitrage-type assumption, a whole range of quadratic optimisation problems by simple mathematical tools in a unified and model-independent way. We provide explicit formulas for optimal positions and values, connections between the solutions to the different problems, two-fund separation results, and explicit expressions for indifference values. mean-variance ; portfolio choice ; hedging ; indifference valuation ; Markowitz problem ; two-fund separation ; no approximate profits ; minimum variance ; Sharpe ratio