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

 

Abstract:
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" [...]

 

  There are three major facts that should be watched out for in all payday loans in the United States. Since its introduction in the market buying Generic Cialis can be exclusively in pharmacy chains with a prescription from a doctor. I agree that this is very inconvenient and takes a lot of time and effort.