2008•Journal of Shaanxi University of TechnologyRequires access
Analysis of Markowitz′s portfolio efficient frontier
Xiaochun Yang
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Abstract
In the paper,according to seven countries′s stock index expected revenue rate,standard variance and correlation coefficient from 1980 to 1993,the portfolio efficient frontier is given in three methods in short selling being allowed and three methods are compared.The algorithm of the efficient frontier is given in the condition of denying short selling.Moreover,the portfolio efficient frontiers are compared in short selling being allowed and not meanwhile.Short selling being allowed has the better expected revenue rate.