A Note on the Kinks at the Mean Variance Frontier

Report, Preprint English OPEN
Vörös, J.; Kriens, J.; Strijbosch, L.W.G.;
  • Publisher: Department of Econometrics and Operations Research
  • Subject: portfolio investment; variance
    arxiv: Statistics::Other Statistics | Mathematics::Optimization and Control

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 efficient frontier, then the securities in this portfolio have equal expected return and the converse of this state... View more
  • References (1)

    Dybvig, P. H.(1984): Short Sales Restrictions and Kinks on the Mean Variance Frontier, The Journal of Finance, 39(1), March 1984, 239-244

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