Skip to main content
SpringerLink
Log in

A note on calculating the optimal risky portfolio

  • Original Paper
  • Published:
Finance and Stochastics Aims and scope Submit manuscript

Abstract.

Given a number of risky assets and a riskless asset, the set of efficient portfolios in the mean-variance optimization sense are combinations of the riskless asset and a unique optimal risky portfolio. This note shows how a simple modification of Markowitz' method of critical lines can be used to determine the optimal risky portfolio in a faster, more reliable, and more memory-efficient way than the standard approaches.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

Author information

Authors and Affiliations

  1. Department of Mathematical Sciences, Carnegie Mellon University, Pittsburgh, PA 15213, USA (e-mail: reha@andrew.cmu.edu) , , , , , , US

    Reha H. Tütüncü

Authors
  1. Reha H. Tütüncü
    View author publications

    You can also search for this author in PubMed Google Scholar

Additional information

Manuscript received: June 2000; final version received: September 2000

Rights and permissions

Reprints and permissions

About this article

Cite this article

Tütüncü, R. A note on calculating the optimal risky portfolio. Finance Stochast 5, 413–417 (2001). https://doi.org/10.1007/PL00013542

Download citation

  • Issue Date:

  • DOI: https://doi.org/10.1007/PL00013542

Search

Navigation