| Issue |
RAIRO-Oper. Res.
Volume 47, Number 3, July-September 2013
|
|
|---|---|---|
| Page(s) | 311 - 320 | |
| DOI | https://doi.org/10.1051/ro/2013041 | |
| Published online | 26 August 2013 | |
Producing the tangency portfolio as a corner portfolio
1 Department of Mathematics, Khansar
Faculty of Computer and Mathematics, University of Isfahan,
Isfahan
81746-73441,
Iran.
r.keykhaei@math.iut.ac.ir
2 College of Mathematical Sciences,
Isfahan University of Technology, 84156-83111, Isfahan, Iran.
jahandid@cc.iut.ac.ir
Received:
4
July
2012
Accepted:
11
July
2013
One-fund theorem states that an efficient portfolio in a Mean-Variance (M-V) portfolio selection problem for a set of some risky assets and a riskless asset can be represented by a combination of a unique risky fund (tangency portfolio) and the riskless asset. In this paper, we introduce a method for which the tangency portfolio can be produced as a corner portfolio. So, the tangency portfolio can be computed easily and fast by any algorithm designed for tracing out the M-V efficient frontier via computing the corner portfolios. Moreover, we show that how this method can be used for tracing out the M-V efficient frontier when problem contains a riskless asset in which the borrowing is not allowed.
Mathematics Subject Classification: 91G10 / 90C20 / 90C29
Key words: M-V Optimization / Parametric Quadratic Programming / Critical Line Algorithm / Capital Allocation Line / Tangency Portfolio
© EDP Sciences, ROADEF, SMAI, 2013
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