A note on calculating the optimal risky portfolio

Abstract

Given a number of risky assets and a riskless asset, the set of efficient portfolios in the mean-variance optimization sense are combinations of the riskless asset and a unique optimal risky portfolio. This note shows how a simple modification of Markowitz’ method of critical lines can be used to determine the optimal risky portfolio in a faster, more reliable, and more memory-efficient way than the standard approaches.

DOI: 10.1007/PL00013542

Cite this paper

@article{Ttnc2001ANO, title={A note on calculating the optimal risky portfolio}, author={Reha H. T{\"{u}t{\"{u}nc{\"{u}}, journal={Finance and Stochastics}, year={2001}, volume={5}, pages={413-417} }