Friday, 11:00 - 11:25 h, Room: H 3021


Marius Radulescu
The efficient frontiers of mean-variance portfolio selection problems

Coauthors: Constanta Zoie Radulescu, Sorin Radulescu


In the paper are defined the notions of efficient frontier set and efficient frontier function of a parametric
optimization problem. We formulate several portfolio selection problems which are nonlinear programming problems. Two of them are minimum variance type problems and the other two are maximum expected return type problems. Taking into account various hypotheses on the covariance matrix and on the vector of means the duality between minimum variance type problems and maximum expected return type problems is investigated. We are interested when the efficient frontier sets of the minimum variance type problems and of the maximum expected return type problems are equal.
Generalization of the problems studied to the case of mean-risk models is suggested.


Talk 2 of the contributed session Fri.1.H 3021
"Portfolio selection problems" [...]
Cluster 7
"Finance & economics" [...]


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