The regression-based efficient frontier
The standard mean–variance analysis employs quadratic optimization to determine the optimal portfolio weights and to plot the mean–variance efficient frontier (MVEF). It then indirectly evaluates the mean–variance efficiency test (MVET) by considering the maximum Sharpe ratios of the tangency portfo...
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| Format: | Article |
| Language: | English |
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Elsevier
2025-05-01
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| Series: | Results in Applied Mathematics |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S2590037425000421 |
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| _version_ | 1849314282908418048 |
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| author | Wan-Yi Chiu |
| author_facet | Wan-Yi Chiu |
| author_sort | Wan-Yi Chiu |
| collection | DOAJ |
| description | The standard mean–variance analysis employs quadratic optimization to determine the optimal portfolio weights and to plot the mean–variance efficient frontier (MVEF). It then indirectly evaluates the mean–variance efficiency test (MVET) by considering the maximum Sharpe ratios of the tangency portfolio within the MVEF framework, which assumes a risk-free rate. This paper integrates these procedures without considering the risk-free rate by transitioning to a regression-based efficient frontier (RBEF). The RBEF estimates the optimal portfolio weights and simultaneously implements the MVET based on an OLS F-test, offering a simpler approach to portfolio optimization. |
| format | Article |
| id | doaj-art-e71e02d5780c4359acae1478b975e82a |
| institution | Kabale University |
| issn | 2590-0374 |
| language | English |
| publishDate | 2025-05-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Results in Applied Mathematics |
| spelling | doaj-art-e71e02d5780c4359acae1478b975e82a2025-08-20T03:52:29ZengElsevierResults in Applied Mathematics2590-03742025-05-012610057810.1016/j.rinam.2025.100578The regression-based efficient frontierWan-Yi Chiu0National United University, Miaoli, Taiwan, ROCThe standard mean–variance analysis employs quadratic optimization to determine the optimal portfolio weights and to plot the mean–variance efficient frontier (MVEF). It then indirectly evaluates the mean–variance efficiency test (MVET) by considering the maximum Sharpe ratios of the tangency portfolio within the MVEF framework, which assumes a risk-free rate. This paper integrates these procedures without considering the risk-free rate by transitioning to a regression-based efficient frontier (RBEF). The RBEF estimates the optimal portfolio weights and simultaneously implements the MVET based on an OLS F-test, offering a simpler approach to portfolio optimization.http://www.sciencedirect.com/science/article/pii/S2590037425000421Mean–varianceEfficient frontierRegression-based efficient frontierMean–variance efficiency testEfficient set constants |
| spellingShingle | Wan-Yi Chiu The regression-based efficient frontier Results in Applied Mathematics Mean–variance Efficient frontier Regression-based efficient frontier Mean–variance efficiency test Efficient set constants |
| title | The regression-based efficient frontier |
| title_full | The regression-based efficient frontier |
| title_fullStr | The regression-based efficient frontier |
| title_full_unstemmed | The regression-based efficient frontier |
| title_short | The regression-based efficient frontier |
| title_sort | regression based efficient frontier |
| topic | Mean–variance Efficient frontier Regression-based efficient frontier Mean–variance efficiency test Efficient set constants |
| url | http://www.sciencedirect.com/science/article/pii/S2590037425000421 |
| work_keys_str_mv | AT wanyichiu theregressionbasedefficientfrontier AT wanyichiu regressionbasedefficientfrontier |