ISSN 1002-1027  CN 11-2952/G2

Acta scientiarum naturalium Universitatis Pekinensis

Previous Articles     Next Articles

q-Zero-covariance Portfolio Frontier

WANG Yiming   

  1. School of Economics, Peking University, Beijing, 100871
  • Received:1999-10-10 Online:2000-09-20 Published:2000-09-20

Abstract: Unlike the literature.this paper mainly discusses the characteristics of the portfolio which isn't on the portfolio frontier. A more general concept—q-zero-covariance portfolio frontier is proposed, andits geometric configuration is depicted in the σ2(r)—Er] space. The usual zero covariance portfolio of the frontier portfolio is its degenerate case, and the portfolio frontier is the envelope of our q-zero-covariance portfolio frontier as q moves.