Fig 1.
Schematic illustration of risky constituents in (σ, μ)–geometry together with the efficient frontier, the risk-free constituent, the tangency portfolio and the capital market line.
Fig 2.
Schematic illustration of risky constituents in (σ, μ)–geometry where the correlation matrix is compound symmetric and all constituents feature equal expected risk adjusted return, μ = rf + kσ.
Here the tangency portfolio weights are given by the inverse-volatility portfolio.
Fig 3.
The Lorenz curves for six portfolios; the equal-weight portfolio (ew), the minimum-volatility portfolio (min_vol), the portfolio from Example 0.1 with the compound-symmetric correlation matrix (comp_sym_ex), the inverse-volatility portfolio (inv_vol), the CAPM-tangency portfolio (tp_CAPM) and the market value-weighted portfolio (mw).
Table 1.
The Gini coefficients of weight distribution of the (tangency) portfolios considered in Fig 3.
Table 2.
The summary of explicit relaxed tangency portfolios given return models.