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A note on the factor-price frontier

✍ Scribed by Gerhard O. Orosel

Book ID
112505591
Publisher
Springer Vienna
Year
1973
Tongue
English
Weight
587 KB
Volume
33
Category
Article
ISSN
1617-7134

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A note on the kinks at the mean variance
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✍ J. VΓΆrΓΆs; J. Kriens; L.W.G. Strijbosch πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 92 KB

In this paper the standard portfolio case with short sales restrictions is analyzed. Dybvig pointed out that if there is a kink at a risky portfolio on the ecient frontier, then the securities in this portfolio have equal expected return and the converse of this statement is false. For the existence