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Notes on the Markowitz portfolio selection method

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  • J. Kriens
  • J. Th. van Lieshout

Abstract

A proof of the validity of Markowitz's critical line method is given for a more general situation than discussed by Markowitz. Next for the Markowitz case with a positive definite covariance matrix explicit expressions are derived for all efficient portfolios. Using these expressions it can be shown that the critical line in the (μ,α2) plane is a representation of a function which is not necessarily differentiable everywhere.

Suggested Citation

  • J. Kriens & J. Th. van Lieshout, 1988. "Notes on the Markowitz portfolio selection method," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 42(3), pages 181-191, September.
    • Handle: RePEc:bla:stanee:v:42:y:1988:i:3:p:181-191
    DOI: 10.1111/j.1467-9574.1988.tb01232.x
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    Cited by:

    1. Kriens, J. & Strijbosch, L.W.G. & Vörös, J., 1994. "Differentiability properties of the efficient (u,q2)-set in the Markowitz portfolio selection method," Research Memorandum FEW 657, Tilburg University, School of Economics and Management.

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