Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2005 erstellt
Description:
In financial economics the classical mean-variance characterization and the orthogonal state-space representation of the efficient frontier coexist. In this paper we establish a link between these approaches to the efficient frontier. The two orthogonal payoffs which span the efficient frontier in the state-space and the two portfolios which allow to construct the efficient frontier in the classical mean-variance world are related to each other explicitly. Basically, a decomposition of the two orthogonal spanning payoffs in the state-space is provided. The results allow to switch between both approaches to the efficient frontier quickly and easily