A note on the kinks at the mean variance
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J. VΓΆrΓΆs; J. Kriens; L.W.G. Strijbosch
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Article
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1999
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Elsevier Science
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English
β 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