Producing the tangency portfolio as a corner portfolio

One‐fund theorem states that an efficient portfolio in a Mean‐Variance (M‐V) portfolio selection problem for a set of some risky assets and a riskless asset can be represented by a combination of a unique risky fund (tangency portfolio) and the riskless asset. In this paper, we introduce a method for which the tangency portfolio can be produced as a corner portfolio. So, the tangency portfolio can be computed easily and fast by any algorithm designed for tracing out the M‐V efficient frontier via computing the corner portfolios. Moreover, we show that how this method can be used for tracing out the M‐V efficient frontier when problem contains a riskless asset in which the borrowing is not allowed.