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    Efficient and optimal portfolios by homogeneous programming

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    Some general results of efficiency theory are applied to the selection of portfolios on the basis of the first two moments of their yield distributions. An arbitrary efficient portfolio can be computed by homogeneous programming. The corresponding duality theorem selects, given the market interest rate, an optimal portfolio from the efficient set. The first three sections develop this specialized (and sharper) theory for portfolio selection Section 4 applies it to a 54 stock example.Anglai
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