The optimization of a quadratic function subject to linear constraints
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...…because it does not rely either on estimation of the moments of asset returns or on 2 Some of the results on mean-variance portfolio choice in Markowitz (1952, 1956, 1959) and Roy (1952) had already been anticipated in 1940 by de Finetti, an English translation of which is now available in…...
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...The number of securities analyzed This will affect the extent of the computation in step (2) and the number of computations in step (3)....
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...Introduction Markowitz has suggested that the process of portfolio selection be approached by (1) making probabilistic estimates of the future performances of securities, (2) analyzing those estimates to determine an efficient set of portfolios and (3) selecting from that set the portfolios best suited to the investor's preferences [1, 2, 3]....
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