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On a particular mapping in Rn

Author

Listed:
  • Alberto Peretti

    (Department of Economics (University of Verona))

Abstract

In this working paper we study some properties of a particular mapping in Rn related to an optimization problem with one equality constraint. We motivate the definition of the relevant mapping starting from a portfolio selection problem, in which we minimize the risk of an investment (the variance of its return) with one equality constraint given by a fixed level of the return itself. The vector of the optimal portfolio is given by a particular mapping of the vector of returns and this mapping is taken into consideration. All the properties of this mapping may of course be considered in the more general context of an optimization problem with one equality contraint, but some of them may be reasonably extended in the further general case of more equality contraints. Although it has not been investigated in this work, some results may have a relevant meaning in explaining the relation between the vector of expected returns and the optimal portfolio.

Suggested Citation

  • Alberto Peretti, 2009. "On a particular mapping in Rn," Working Papers 68/2009, University of Verona, Department of Economics.
    • Handle: RePEc:ver:wpaper:68/2009
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    File URL: http://dse.univr.it//workingpapers/mapping.pdf
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    Cited by:

    1. Alberto Peretti, 2014. "A mapping associated to a quadratic optimization problem with linear constraints," Working Papers 22/2014, University of Verona, Department of Economics.

    More about this item

    Keywords

    Portfolio selection; constrained optimization; linear mapping;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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