Since 2014
Where is the Efficient Frontier
EuroEconomica
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| Title |
Where is the Efficient Frontier
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| Creator |
Chen, Jing; University of Northern British Columbia, Prince George, BC
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| Subject |
Capital market line; Efficient frontier; Riskless asset; Risky assets
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| Description |
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 frontier for the risky assets in a financial market with liquid fixed income trading. This unified understanding of riskless asset as the boundary of risky assets relieves the burden of constructing efficient frontiers in asset allocation problems, and allows for much better asset allocation decisions. It greatly simplifies the exposition on investment theory.
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| Publisher |
Danubius University of Galati, Romania
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| Contributor |
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| Date |
2010-04-26
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| Type |
Peer-reviewed Article
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| Format |
application/pdf
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| Identifier |
http://journals.univ-danubius.ro/index.php/euroeconomica/article/view/262
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| Source |
EuroEconomica; Vol 24, No 1 (2010)
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| Language |
en
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| Rights |
The author fully assumes the content originality and the holograph signature makes him responsible in case of trial.
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