Markowitz’s model with Euclidean vector spaces

• DOI: 10.1016/j.ejor.2008.04.021
• Publication Date: 2008-04-26T11:46:02Z
• Authors: Salvador Cruz Ram...; José García Pérez; Miguel Ángel Sánc...; Juan Evangelista ...
• Keywords: Efficient frontier

Abstract In this paper a new approach of the Markowitz’s model is presented. Indeed, using an inner product, a quantitative and explicit solution for optimal portfolio selection is given. To do this, a scalar product is defined in R n which allows us to calculate the composition of the optimal portfolio and the variance for a given expected return by means of the distance between the subspace of feasible solutions and the origin of the affine space.