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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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2025-05-01
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| Series: | Results in Applied Mathematics |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2590037425000421 |
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