Note—A Simplified Expression for the Efficient Frontier in Mean-Variance Portfolio Analysis

The identification of an important but previously overlooked technical property of minimum-variance portfolios greatly simplifies both the derivation of and the expression for the efficient frontier in mean-variance portfolio analysis. These simplifications permit a corresponding reduction in the analytics required to examine and to interpret essential properties of the model including comparative-static results and mutual-fund theorems.

• 저널Management Science · 23(8) · 901–904
• 토픽Insurance, Mortality, Demography, Risk Management · Demography
• DOI10.1287/mnsc.23.8.901
• 저자Stephen A. Buser