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Year 2018, Volume: 1 Issue: 2, 175 - 183, 25.12.2018

Valentin Iliev

https://doi.org/10.33401/fujma.453591

Abstract

References

  • [1] H. Markowitz, Portfolio Selection, J. Finance, 7 (1952), 77-91.
  • [2] H. Markowitz, (2nd ed.), Portfolio Selection, Blackwell, 1991.
  • [3] S. Stoyanov, S. Rachev, F. Fabozzi, Optimal financial portfolios, Appl. Math. Finance, 14 (2007), 401-436.

On Markowitz Geometry

Year 2018, Volume: 1 Issue: 2, 175 - 183, 25.12.2018

Valentin Iliev

https://doi.org/10.33401/fujma.453591

Abstract

By Markowitz geometry we mean the intersection theory of ellipsoids and affine subspaces in a real finite-dimensional linear space. In the paper we give a meticulous and self-contained treatment of this arch-classical subject, which lays a solid mathematical groundwork of Markowitz mean-variance theory of efficient portfolios in economics.

Keywords

Affine subspace Efficient financial portfolio Ellipsoid Markowitz mean-variance theory

References

  • [1] H. Markowitz, Portfolio Selection, J. Finance, 7 (1952), 77-91.
  • [2] H. Markowitz, (2nd ed.), Portfolio Selection, Blackwell, 1991.
  • [3] S. Stoyanov, S. Rachev, F. Fabozzi, Optimal financial portfolios, Appl. Math. Finance, 14 (2007), 401-436.
There are 3 citations in total.

Details

Primary Language English
Subjects Mathematical Sciences
Journal Section Articles
Authors

Valentin Iliev

Publication Date December 25, 2018
Submission Date August 14, 2018
Acceptance Date November 21, 2018
Published in Issue Year 2018 Volume: 1 Issue: 2

Cite

APA Iliev, V. (2018). On Markowitz Geometry. Fundamental Journal of Mathematics and Applications, 1(2), 175-183. https://doi.org/10.33401/fujma.453591
AMA Iliev V. On Markowitz Geometry. FUJMA. December 2018;1(2):175-183. doi:10.33401/fujma.453591
Chicago Iliev, Valentin. “On Markowitz Geometry”. Fundamental Journal of Mathematics and Applications 1, no. 2 (December 2018): 175-83. https://doi.org/10.33401/fujma.453591.
EndNote Iliev V (December 1, 2018) On Markowitz Geometry. Fundamental Journal of Mathematics and Applications 1 2 175–183.
IEEE V. Iliev, “On Markowitz Geometry”, FUJMA, vol. 1, no. 2, pp. 175–183, 2018, doi: 10.33401/fujma.453591.
ISNAD Iliev, Valentin. “On Markowitz Geometry”. Fundamental Journal of Mathematics and Applications 1/2 (December 2018), 175-183. https://doi.org/10.33401/fujma.453591.
JAMA Iliev V. On Markowitz Geometry. FUJMA. 2018;1:175–183.
MLA Iliev, Valentin. “On Markowitz Geometry”. Fundamental Journal of Mathematics and Applications, vol. 1, no. 2, 2018, pp. 175-83, doi:10.33401/fujma.453591.
Vancouver Iliev V. On Markowitz Geometry. FUJMA. 2018;1(2):175-83.
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