Abstract
In a mean—variance portfolio analysis (Markowitz, 1959) an n-component vector (portfolio) X is called feasible if it satisfies
where A is an m x n matrix of constraint coefficients, and b an m-component constant vector. An EV combination is called feasible if
for some feasible portfolio. Here E is the expected return of the portfolio, V the variance of the portfolio, μ the vector of expected returns on securities, and C a positive semidefinite covariance matrix of returns among securities.
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© 1989 Palgrave Macmillan, a division of Macmillan Publishers Limited
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Markowitz, H.M. (1989). Mean—Variance Analysis. In: Eatwell, J., Milgate, M., Newman, P. (eds) Finance. The New Palgrave. Palgrave Macmillan, London. https://doi.org/10.1007/978-1-349-20213-3_21
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DOI: https://doi.org/10.1007/978-1-349-20213-3_21
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