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Producing the tangency portfolio as a cornerportfolio
Published online by Cambridge University Press: 26 August 2013
Abstract
One-fund theorem states that an efficient portfolio in a Mean-Variance (M-V) portfolioselection problem for a set of some risky assets and a riskless asset can be representedby a combination of a unique risky fund (tangency portfolio) and the riskless asset. Inthis paper, we introduce a method for which the tangency portfolio can be produced as acorner portfolio. So, the tangency portfolio can be computed easily and fast by anyalgorithm designed for tracing out the M-V efficient frontier via computing the cornerportfolios. Moreover, we show that how this method can be used for tracing out the M-Vefficient frontier when problem contains a riskless asset in which the borrowing is notallowed.
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- Research Article
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- © EDP Sciences, ROADEF, SMAI, 2013
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