On Markowitz Geometry

Published 12 Jul 2017 in math.OC and q-fin.PM | (1707.03588v4)

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.

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Authors (1)

Valentin Vankov Iliev

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