On Markowitz Geometry

Authors : Valentin ILİEV

Pages : 175-183

Doi:10.33401/fujma.453591

View : 12 | Download : 9

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