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- W1986130135 abstract "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." @default.
- W1986130135 created "2016-06-24" @default.
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- W1986130135 date "2013-07-01" @default.
- W1986130135 modified "2023-09-24" @default.
- W1986130135 title "Producing the tangency portfolio as a corner portfolio" @default.
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- W1986130135 doi "https://doi.org/10.1051/ro/2013041" @default.
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