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Original languageEnglish
JournalSIAM Journal on Financial Mathematics
Accepted/In press4 Jun 2018
Published1 Aug 2018


King's Authors


We give an algebraic definition of a Markowitz market and classify
markets up to isomorphism. Given this classification,
the theory of portfolio optimization in Markowitz markets without short selling constraints becomes trivial.
Conversely, this classification shows that, up to isomorphism, there is
little that can be said about a Markowitz market that is not already detected
by the theory of portfolio optimization. In particular, if one seeks to develop a simplified low-dimensional model of a large financial market using mean--variance analysis alone, the resulting model can be at most two-dimensional.

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