Where is the Efficient Frontier

Article OPEN
Jing Chen;
(2010)
  • Journal: Euroeconomica,issue 24 March,pages22-25
  • Subject: Capital market line; Efficient frontier; Riskless asset; Risky assets

Tremendous effort has been spent on the construction of reliable efficient frontiers. However, mean-variance efficient portfolios constructed using sample means and covariance often perform poorly out of sample. We prove that, the capital market line is the efficient fr... View more
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