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A Linear Programming Formulation of the General Portfolio Selection Problem†

Published online by Cambridge University Press:  19 October 2009

Bernell K. Stone
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Extract

Almost two decades ago, Markowitz [12] formulated the portfolio selection problem as a parametric quadratic programming problem. The crux of his formulation was the mean-variance assumption which asserted that a portfolio is efficient if (and only if): (1) it has less variance than any other feasible portfolio with the same return and (2) it has more return than any other feasible portfolio with the same variance.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 8 , Issue 4 , September 1973 , pp. 621 - 636
Copyright
Copyright © School of Business Administration, University of Washington 1973

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