An algorithmic approach to deriving the minimum-variance zero-beta portfolio-Reference-Cited by-同舟云学术

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An algorithmic approach to deriving the minimum-variance zero-beta portfolio

Published:1977-03 Issue:2 Volume:4 Page:231-236
ISSN:0304-405X
Container-title:Journal of Financial Economics
language:en
Short-container-title:Journal of Financial Economics

Author:

Alexander Gordon J.

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference6 articles.

1. Capital market equilibrium with restricted borrowing;Black;Journal of Business,1972

2. Bimatrix equilibrium points and mathematical programming;Lemke;Management Science,1965

3. Prediction of return with the minimum variance zero beta portfolio;Morgan;Journal of Financial Economics,1975

4. Computational aspects of Lemke's complementary algorithm applied to linear programs;Ravindran;Opsearch,1970

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Understanding the Quintile Portfolio;IEEE Transactions on Signal Processing;2020

2. Capital Asset Pricing Model;Analytical Corporate Valuation;2018

3. Market neutral portfolios;Optimization Letters;2013-12-10

4. Capital Market Equilibrium with Divergent Investment Horizon Length Assumptions;The Journal of Financial and Quantitative Analysis;1983-06

5. A Note on Capital Asset Pricing and the Theory of Indexed Bonds;Southern Economic Journal;1979-04

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