Geodesic
Producing the tangency portfolio as a corner portfolio
RAIRO - Operations Research - Recherche Opérationnelle, Tome 47 (2013) no. 3, pp. 311-320

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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.

DOI : 10.1051/ro/2013041
Classification : 91G10, 90C20, 90C29
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},
     publisher = {EDP-Sciences},
     volume = {47},
     number = {3},
     year = {2013},
     doi = {10.1051/ro/2013041},
     mrnumber = {3143755},
     zbl = {1282.91304},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/ro/2013041/}
}
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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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