Markowitz's model with Euclidean vector spaces

被引：3

作者：

Cruz Rambaud, Salvador ^{[1
]}

Garcia Perez, Jose ^{[2
]}

Sanchez Granero, Miguel Angel ^{[3
]}

Trinidad Segovia, Juan Evangelista ^{[1
]}

机构：

[1] Univ Almeria Spain, Dept Direcc & Gest Empresas, Almeria 04071, Spain

[2] Univ Almeria Spain, Dept Econ Aplicada, Almeria 04071, Spain

[3] Univ Almeria Spain, Dept Geometria & Topol, Almeria 04071, Spain

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2009年 / 196卷 / 03期

关键词：

Markowitz's model; Portfolio selection; Short sales; Efficient frontier; PORTFOLIO SELECTION;

D O I：

10.1016/j.ejor.2008.04.021

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

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 R-n 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. (c) 2008 Elsevier B.V. All rights reserved.

引用

页码：1245 / 1248

页数：4

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