The basics of the mean-variance portfolio optimisation procedure have been well understood since the seminal work of Markowitz in the 1950's. A vector x of asset weights, restricted only by requiring its components to add to 1, is to be chosen so that the linear combination μ p=x ′ μ of the...

The basics of the mean-variance portfolio optimisation procedure have been well understood since the seminal work of Markowitz in the 1950's. A vector x of asset weights, restricted only by requiring its components to add to 1, is to be chosen so that the linear combination μ<Subscript>p</Subscript>=x <Superscript>′</Superscript> μ of the...</superscript></subscript>