q-Zero-covariance Portfolio Frontier

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, and its geometric configuration is depicted in the σ₂(r)—E［r］ 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.

Key words:

portfolio frontier; frontier portfolio; q-zero-covariance portfolio frontier

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