Producing the Tangency Portfolio as a Corner portfolio
• Keykhaei, R., Jahandideh M. T. (2013) Producing the Tangency Portfolio as a Corner portfolio. Published in RAIRO - Operation Research Vol. 47-3, Pages 311-320.
One-fund theorem states that an efficient portfolio in a Mean-Variance (M_V) portfolio selection problem for a set of some risky assets and a riskless asset can be represented by a combination of a unique risky fund (tangency portfolio) and the riskless asset. In this paper, we introduce a method for which the tangency portfolio can be produced as a corner portfolio. So, the tangency portfolio can be computed easily and fast by any algorithm designed for tracing out the M-V efficient frontier via computing the corner portfolio. Moreover, we show that how this method can be used for tracing out the M-V efficient frontier when problem contains a riskless asset in which the borrowing is not allowed.