Portfolio Selection under Condition of Variable Weights

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References

[1] H. M. Markowitz, “Portfolio Selection,” The Journal of Finance, Vol. 7, No. 1, 1952, pp. 77-91.

[2] J. Tobin, “Liquidity Preference as a Behavior towards Risk, Review of Economic Studies,” Vol. 25, No. 2, 1958, pp. 65-86. doi:10.2307/2296205

[3] R. H. Tütüncü, “A Note on Calculating the Optimal Risky Portfolio,” Finance and Stochastics, Vol. 5, No. 3, 2001, pp. 413-417. doi:10.1007/PL00013542

[4] R. C. Merton, “An Analytic Derivation of the Efficient Portfolio Frontier,” Journal of Financial and Quantitative Analysis, Vol. 7, No. 4, 1972, pp. 1851-1872.
doi:10.2307/2329621

[5] R. Roll, “A Critique of the Asset Pricing Theory’s Tests. Part I. On Past and Potential Testability of the Theory,” Journal of Financial Economics, Vol. 4, No. 2, 1997, pp. 129-176. doi:10.1016/0304-405X(77)90009-5

[6] M. C. Steinbach, “Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis,” Siam Review, Vol. 43, No. 1, 2011, pp. 31-85.
doi:10.1137/S0036144500376650