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A Linear Programming Formulation of the General Portfolio Selection Problem†

Published online by Cambridge University Press:  19 October 2009

Bernell K. Stone
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Extract

Almost two decades ago, Markowitz [12] formulated the portfolio selection problem as a parametric quadratic programming problem. The crux of his formulation was the mean-variance assumption which asserted that a portfolio is efficient if (and only if): (1) it has less variance than any other feasible portfolio with the same return and (2) it has more return than any other feasible portfolio with the same variance.

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Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 8 , Issue 4 , September 1973, pp. 621 - 636
Copyright
Copyright © School of Business Administration, University of Washington 1973

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References

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