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A note on the kinks at the mean variance frontier

✍ Scribed by J. Vörös; J. Kriens; L.W.G. Strijbosch

Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
92 KB
Volume
112
Category
Article
ISSN
0377-2217

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✦ Synopsis

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 of kinks at the ecient frontier the sucient condition is given here and a new procedure is used to derive the ecient frontier, i.e. the characteristics of the mean variance frontier.

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