National Centre of Competence in Research Financial Valuation and Risk Management Working Paper No 729 Simplified Mean Variance Portfolio Optimisation
We propose a simplified approach to mean variance portfolio problems by changing their parametrisation from trading strategies to final positions. This allows us to treat, under a very mild no arbitrage type assumption, a whole range of quadratic optimisation problems by simple mathematical tools in a unified and model independent way. We provide explicit formulas for optimal positions and values, connections between the solutions to the different problems, two fund separation results, and explicit expressions for indifference values.