A geometric point of view on mean-variance models

• Autorzy: Piotr Jaworski
• Języki publikacji: EN

Abstrakty

EN

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.

Kategorie tematyczne

• 14P99: None of the above, but in this section
• 58K30: Global theory
• 90C20: Quadratic programming

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2003
• Tom: 30
• Numer: 2
• Strony: 217-241

Daty

wydano

2003

Twórcy

autor

Piotr Jaworski

• Institute of Mathematics, Warsaw University, Banacha 2, 02-097 Warszawa, Poland

Identyfikatory

DOI

10.4064/am30-2-6