On Markowitz Geometry

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Fundamental Journal of Mathematics and Applications
Volume:1 Issue:2
On Markowitz Geometry

On Markowitz Geometry

Pages : 175-183

View : 63 | Download : 14

Publication Date : 2018-12-25

Article Type : Research Paper

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

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