A study of revolving movement of efficient portfolio frontier with existence of riskless security
Cai Xiao-yu · Journal of Ningxia University · 2001
Under existence of riskless security, the revolving movement of frontier of efficient portfolio is studied by means of revolving analysis when the number of securities increase to a total of n+k(k≥1).Some results about the revolving direction and revolving degree put forward by authors are given. For convenient operation in practice, the authors show calculation formulate of investment to securities portfolio. Based on the complete discussion for increasing one security to portfolio in this paper, a multi-stage dynamic algorithm is submitted to solve the complicated discussion of increasing a total number of k securities.