Single-Period Markowitz Portfolio Selection, Performance Gauging, and Duality: A Variation on the Luenberger Shortage Function

W. Briec, K. Kerstens and J.B. Lesourd

Journal of Optimization Theory and Applications
Volume 120, Number 1, 1-27, DOI: 10.1023/B:JOTA.0000012730.36740.bb




http://www.springerlink.com/content/t65v247137q15291/