Title of article
Markowitz’s model with Euclidean vector spaces
Author/Authors
Salvador Cruz Rambaud، نويسنده , , José Garc?a Pérez، نويسنده , , Miguel ?ngel S?nchez Granero، نويسنده , , Juan Evangelista Trinidad Segovia، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2009
Pages
4
From page
1245
To page
1248
Abstract
In this paper a new approach of the Markowitz’s model is presented. Indeed, using an inner product, a quantitative and explicit solution for optimal portfolio selection is given. To do this, a scalar product is defined in RnRn which allows us to calculate the composition of the optimal portfolio and the variance for a given expected return by means of the distance between the subspace of feasible solutions and the origin of the affine space.
Keywords
Portfolio selection , Markowitz’s model , Short sales , Efficient Frontier
Journal title
European Journal of Operational Research
Serial Year
2009
Journal title
European Journal of Operational Research
Record number
1313742
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