Kung, James J. - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 10, pp. 3089-3098
In mean–variance (M–V) analysis, an investor with a holding period [0,T] operates in a two-dimensional space—one is the mean and the other is the variance. At time 0, he/she evaluates alternative portfolios based on their means and variances, and holds a combination of the market portfolio...