A geometric point of view on mean-variance models

Piotr Jaworski. "A geometric point of view on mean-variance models." Applicationes Mathematicae 30.2 (2003): 217-241. <http://eudml.org/doc/279276>.

@article{PiotrJaworski2003,
abstract = {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, $x_i ≥ 0$. 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.},
author = {Piotr Jaworski},
journal = {Applicationes Mathematicae},
keywords = {portfolio theory; Markowitz model},
language = {eng},
number = {2},
pages = {217-241},
title = {A geometric point of view on mean-variance models},
url = {http://eudml.org/doc/279276},
volume = {30},
year = {2003},
}

TY - JOUR
AU - Piotr Jaworski
TI - A geometric point of view on mean-variance models
JO - Applicationes Mathematicae
PY - 2003
VL - 30
IS - 2
SP - 217
EP - 241
AB - 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, $x_i ≥ 0$. 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.
LA - eng
KW - portfolio theory; Markowitz model
UR - http://eudml.org/doc/279276
ER -