Differentiability properties of the efficient (u,q2)-set in the Markowitz portfolio selection method

J. Kriens, L.W.G. Strijbosch, J. Vörös

Research output: Book/ReportReportProfessional

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Abstract

The set of efficient (Rho2)-combinations in the (Rho2)-plane of the Markowitz portfolio selection method consists of a series of strictly convex parabola. In the transition points from one parabola to the next one, the curve may be indifferentiable. The article gives necessary and sufficient conditions for differentiability and compares these conditions with statements on differentiability in the literature. A new proof of the differentiability property is presented using the portfolio selection model with one riskless asset.
Original languageEnglish
PublisherUnknown Publisher
Number of pages22
VolumeFEW 657
Publication statusPublished - 1994

Publication series

NameResearch memorandum / Tilburg University, Faculty of Economics and Business Administration
VolumeFEW 657

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Differentiability
Portfolio selection
Selection model
Assets

Keywords

  • Portfolio Investment
  • management science

Cite this

Kriens, J., Strijbosch, L. W. G., & Vörös, J. (1994). Differentiability properties of the efficient (u,q2)-set in the Markowitz portfolio selection method. (Research memorandum / Tilburg University, Faculty of Economics and Business Administration; Vol. FEW 657). Unknown Publisher.
Kriens, J. ; Strijbosch, L.W.G. ; Vörös, J. / Differentiability properties of the efficient (u,q2)-set in the Markowitz portfolio selection method. Unknown Publisher, 1994. 22 p. (Research memorandum / Tilburg University, Faculty of Economics and Business Administration).
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Kriens, J, Strijbosch, LWG & Vörös, J 1994, Differentiability properties of the efficient (u,q2)-set in the Markowitz portfolio selection method. Research memorandum / Tilburg University, Faculty of Economics and Business Administration, vol. FEW 657, vol. FEW 657, Unknown Publisher.

Differentiability properties of the efficient (u,q2)-set in the Markowitz portfolio selection method. / Kriens, J.; Strijbosch, L.W.G.; Vörös, J.

Unknown Publisher, 1994. 22 p. (Research memorandum / Tilburg University, Faculty of Economics and Business Administration; Vol. FEW 657).

Research output: Book/ReportReportProfessional

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KW - Portfolio Investment

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T3 - Research memorandum / Tilburg University, Faculty of Economics and Business Administration

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Kriens J, Strijbosch LWG, Vörös J. Differentiability properties of the efficient (u,q2)-set in the Markowitz portfolio selection method. Unknown Publisher, 1994. 22 p. (Research memorandum / Tilburg University, Faculty of Economics and Business Administration).