Property of Difference Coefficientσ/μ
for Optimal Portfolio and Its Determination

ZHAO Xin-shun; SHI Ben-shan

Volume 16 Issue 4

Aug. 2003

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Article Contents

Journal of Southwest Jiaotong University > 2003 > 16(4): 454-458.

ZHAO Xin-shun, SHI Ben-shan. Property of Difference Coefficientσ/μfor Optimal Portfolio and Its Determination[J]. Journal of Southwest Jiaotong University, 2003, 16(4): 454-458.

Citation:

ZHAO Xin-shun, SHI Ben-shan. Property of Difference Coefficientσ/μ for Optimal Portfolio and Its Determination[J]. Journal of Southwest Jiaotong University, 2003, 16(4): 454-458.

ZHAO Xin-shun, SHI Ben-shan. Property of Difference Coefficientσ/μfor Optimal Portfolio and Its Determination[J]. Journal of Southwest Jiaotong University, 2003, 16(4): 454-458.

Citation:

ZHAO Xin-shun, SHI Ben-shan. Property of Difference Coefficientσ/μ for Optimal Portfolio and Its Determination[J]. Journal of Southwest Jiaotong University, 2003, 16(4): 454-458.

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Property of Difference Coefficientσ/μ for Optimal Portfolio and Its Determination

Publish Date: 25 Aug 2003

Abstract

Abstract

On the basis of Markowitz s mean-variance model subject to the condition of short sale, the existence and uniqueness of the difference coefficient and its optimal solution are discussed. And under the more practical condition of no short sale, the above properties are proven. The mathematical expression of the coefficient under the condition of no short sale and its solving process are given. Finally, a real example is calculated.
- investment model,
- difference coefficient,
- portfolio,
- mean-variance model,
- no short sale