A Study on the Properties and the Determination of the Efficient Portfolio Frontier under Nonnegative Constraint
Long Zhao · 2000
In this paper, we prove that there exists a unique solution to the Markowitz Models. By way of setting up a universe section of the linking parabolas, we analyze the linking and derivable properties of the efficient portfolio frontier under nonnegative constraint, and find a method, which makes optimization search unnecessary, to determine the expression of the efficient frontier.