A geometric point of view on mean-variance models
Piotr Jaworski
Applicationes Mathematicae, Tome 30 (2003), p. 217-241 / Harvested from The Polish Digital Mathematics Library

This paper deals with the mathematics of the Markowitz theory of portfolio management. Let E and V be two homogeneous functions defined on ℝⁿ, the first linear, the other positive definite quadratic. Furthermore let Δ be a simplex contained in ℝⁿ (the set of admissible portfolios), for example Δ : x₁+ ... + xₙ = 1, xi0. Our goal is to investigate the properties of the restricted mappings (V,E):Δ → ℝ² (the so called Markowitz mappings) and to classify them. We introduce the notion of a generic model (Δ,E,V) and investigate the equivalence of such models defined by continuous deformation.

Publié le : 2003-01-01
EUDML-ID : urn:eudml:doc:279276
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     title = {A geometric point of view on mean-variance models},
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     year = {2003},
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Piotr Jaworski. A geometric point of view on mean-variance models. Applicationes Mathematicae, Tome 30 (2003) pp. 217-241. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am30-2-6/