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Table Of Contents

Picture of Markowitz
The Markowitz Model
Markowitz Optimization
Importance of the Two Fund
Theorem
Expanded Feasible Region
The Message of Markowitz
Problems
Appendix 1:
Markowitz Theory using
Linear Algebra
The Lagrangian
Derivatives using Linear Algebra
A Constrained Quadratic
Optimization
The Structure of Optimality
Solving the Markowitz Problem
The Two Fund Theorem
Importance of Two Fund Theorem
The One-Fund Theorem
Appendix 2:
When the 1-Fund and 2-Fund
Theorems Hold
When the two fund theorem holds
Allowed
Not Allowed
General Optimization
First Order Optimality Conditions
Allow Shorting of the Risk-Free
One-Fund Theorem Holds!
Allow Shorting of Risky
One-Fund Theorem Doesn¶t Hold!
Appendix 3:
Lagrange Multipliers and the
Objective Function
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(L10)Markowitz_ns

(L10)Markowitz_ns

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Published by Pauli Yang

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Published by: Pauli Yang on Nov 26, 2010
Copyright:Attribution Non-commercial

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12/07/2012

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