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Positively Weighted Portfolios on the Minimum-Variance Frontier

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  • Green, Richard C

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  • Green, Richard C, 1986. "Positively Weighted Portfolios on the Minimum-Variance Frontier," Journal of Finance, American Finance Association, vol. 41(5), pages 1051-1068, December.
    • Handle: RePEc:bla:jfinan:v:41:y:1986:i:5:p:1051-68
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    Cited by:

    1. Alessia Naccarato & Andrea Pierini & Giovanna Ferraro, 2021. "Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment," Annals of Operations Research, Springer, vol. 299(1), pages 81-99, April.
    2. Hancock, G.D., 2005. "A text book treatment of calculating returns on non-traditional portfolios," Review of Financial Economics, Elsevier, vol. 14(2), pages 173-186.
    3. Hlouskova, Jaroslava & Lee, Gabriel S., 2001. "Legal Restrictions on Portfolio Holdings: Some Empirical Results," Economics Series 93, Institute for Advanced Studies.
    4. Michael Best & Xili Zhang, 2012. "The Efficient Frontier for Weakly Correlated Assets," Computational Economics, Springer;Society for Computational Economics, vol. 40(4), pages 355-375, December.
    5. G.D. Hancock, 2005. "A text book treatment of calculating returns on non‐traditional portfolios," Review of Financial Economics, John Wiley & Sons, vol. 14(2), pages 173-186.
    6. Alexander, Carol & Korovilas, Dimitris & Kapraun, Julia, 2016. "Diversification with volatility products," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 213-235.
    7. Levy, Moshe, 2007. "Conditions for a CAPM equilibrium with positive prices," Journal of Economic Theory, Elsevier, vol. 137(1), pages 404-415, November.
    8. Levy, Moshe & Ritov, Yaacov, 2001. "Portfolio Optimization with Many Assets: The Importance of Short-Selling," University of California at Los Angeles, Anderson Graduate School of Management qt41x4t67m, Anderson Graduate School of Management, UCLA.
    9. James DiLellio, 2015. "A Kalman filter control technique in mean-variance portfolio management," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(2), pages 235-261, April.
    10. Manuel Tarrazo & Ricardo Úbeda, 2012. "Minimum-variance versus tangent portfolios – A note," Journal of Asset Management, Palgrave Macmillan, vol. 13(3), pages 186-195, June.
    11. Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, vol. 56(6), pages 905-923, June.
    12. Haim Levy, 2010. "The CAPM is Alive and Well: A Review and Synthesis," European Financial Management, European Financial Management Association, vol. 16(1), pages 43-71, January.
    13. Diacogiannis, George & Ioannidis, Christos, 2022. "Linear beta pricing with efficient/inefficient benchmarks and short-selling restrictions," International Review of Financial Analysis, Elsevier, vol. 81(C).

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