Proceeding to portfolio allocation in the framework of Markowitz, a numerical inconsistency may occur when the sample … of the inverse when computing the sample covariance matrix for portfolio allocation. We particularly detail the …

determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set … allocation for which the largest excess is as small as possible. We show that this allocation rule yields a unique allocation …, and that it satisfies some desirable properties. We also show that the allocation can be determined by solving a series of …

determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set … allocation for which the largest excess is as small as possible. We show that this allocation rule yields a unique allocation …, and that it satisfies some desirable properties. We also show that the allocation can be determined by solving a series of …

portfolio must make is the portfolio's asset allocation. Asset allocation refers to the percentage of amount invested in various …