Portfolio analysis – an analytic derivation of the efficient portfolio frontier. (English) Zbl 0582.90006

Vörös, J.

Eur. J. Oper. Res. 24, 294-300 (1986).

The efficient portfolio frontier is derived explicitly for cases in which short sales are not allowed. When all securities are risky it is shown that the efficient portfolio frontier consists of a series of monotonously increasing arcs of convex parabolas in the return-variance plane. If the efficient portfolio frontier of risky securities is known, the efficient frontier can easily be revealed when there is a riskless security. An upper limit on borrowing is also introduced.

MSC:

91G10	Portfolio theory
90C90	Applications of mathematical programming
90C20	Quadratic programming
90C31	Sensitivity, stability, parametric optimization

Keywords:

finance; parametrical quadratic programming; efficient portfolio frontier

References:

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