On admissible efficient portfolio selection: Models and algorithms

摘要

The admissible efficient portfolio selection problem for risky assets has been discussed by Zhang and Nie. In this paper, the admissible efficient portfolio model is proposed under general investment constrains on risky assets and a risk-less asset. The closed form solution of the admissible efficient frontiers are derived from three cases: the risk-less asset can either be only lent, or borrowed, or both lent and borrowed. The upper and lower admissible efficient frontiers are developed by the expected return and risk to be estimated optimistically and pessimistically, respectively.