[home] [next]

Nestcape 4 cannot display this site properly. Please use Netscape 6 or Internet Explorer or Opera.
The Geometry of Risk and Reward
An application of Euclidean linear algebra
by

Victor T. Norton, Jr.
Department of Mathematics and Statistics
Bowling Green State University


Abstract We adopt a geometric view of Markowitz's and Sharpe's mean-variance theory of portfolio choice. Our model posits that expected reward is a linear function of risk. This axiom is generally true after singular value reduction of data. The Sharpe-optimal long portfolio leads to an investment strategy that appears to have considerable merit.
[investment strategy]

With current SOLNG mix
quarter VIGRXVIVAX VEXMXVBMFX
2002q30.0%0.0%7.7%92.3%



©2002 Victor T. Norton, Jr. [home] [next]
Last updated: 6-Jul-02
vic@norton.name