Producing the tangency portfolio as a corner portfolio
RAIRO - Operations Research - Recherche Opérationnelle, Tome 47 (2013) no. 3, pp. 311-320.

One-fund theorem states that an efficient portfolio in a Mean-Variance (M-V) portfolio selection problem for a set of some risky assets and a riskless asset can be represented by a combination of a unique risky fund (tangency portfolio) and the riskless asset. In this paper, we introduce a method for which the tangency portfolio can be produced as a corner portfolio. So, the tangency portfolio can be computed easily and fast by any algorithm designed for tracing out the M-V efficient frontier via computing the corner portfolios. Moreover, we show that how this method can be used for tracing out the M-V efficient frontier when problem contains a riskless asset in which the borrowing is not allowed.

DOI : 10.1051/ro/2013041
Classification : 91G10, 90C20, 90C29
Mots clés : M-V optimization, parametric quadratic programming, critical line algorithm, capital allocation line, tangency portfolio
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Keykhaei, Reza; Jahandideh, Mohamad-Taghi. Producing the tangency portfolio as a corner portfolio. RAIRO - Operations Research - Recherche Opérationnelle, Tome 47 (2013) no. 3, pp. 311-320. doi : 10.1051/ro/2013041. http://www.numdam.org/articles/10.1051/ro/2013041/

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