One-fund theorem states that an efficient portfolio in a Mean-Variance (M-V) portfolio selection problem for a set of some risky assets and a riskless asset can be represented by a combination of a unique risky fund (tangency portfolio) and the riskless asset. In this paper, we introduce a method for which the tangency portfolio can be produced as a corner portfolio. So, the tangency portfolio can be computed easily and fast by any algorithm designed for tracing out the M-V efficient frontier via computing the corner portfolios. Moreover, we show that how this method can be used for tracing out the M-V efficient frontier when problem contains a riskless asset in which the borrowing is not allowed.
Keywords: M-V optimization, parametric quadratic programming, critical line algorithm, capital allocation line, tangency portfolio
@article{RO_2013__47_3_311_0,
author = {Keykhaei, Reza and Jahandideh, Mohamad-Taghi},
title = {Producing the tangency portfolio as a corner portfolio},
journal = {RAIRO - Operations Research - Recherche Op\'erationnelle},
pages = {311--320},
year = {2013},
publisher = {EDP-Sciences},
volume = {47},
number = {3},
doi = {10.1051/ro/2013041},
mrnumber = {3143755},
zbl = {1282.91304},
language = {en},
url = {http://geodesic.mathdoc.fr/articles/10.1051/ro/2013041/}
}
TY - JOUR AU - Keykhaei, Reza AU - Jahandideh, Mohamad-Taghi TI - Producing the tangency portfolio as a corner portfolio JO - RAIRO - Operations Research - Recherche Opérationnelle PY - 2013 SP - 311 EP - 320 VL - 47 IS - 3 PB - EDP-Sciences UR - http://geodesic.mathdoc.fr/articles/10.1051/ro/2013041/ DO - 10.1051/ro/2013041 LA - en ID - RO_2013__47_3_311_0 ER -
%0 Journal Article %A Keykhaei, Reza %A Jahandideh, Mohamad-Taghi %T Producing the tangency portfolio as a corner portfolio %J RAIRO - Operations Research - Recherche Opérationnelle %D 2013 %P 311-320 %V 47 %N 3 %I EDP-Sciences %U http://geodesic.mathdoc.fr/articles/10.1051/ro/2013041/ %R 10.1051/ro/2013041 %G en %F RO_2013__47_3_311_0
Keykhaei, Reza; Jahandideh, Mohamad-Taghi. Producing the tangency portfolio as a corner portfolio. RAIRO - Operations Research - Recherche Opérationnelle, Tome 47 (2013) no. 3, pp. 311-320. doi: 10.1051/ro/2013041
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