Impossible Frontiers
A key result of the capital asset pricing model (CAPM) is that the market portfolio-the portfolio of all assets in which each asset's weight is proportional to its total market capitalization-lies on the mean-variance-efficient frontier, the set of portfolios having mean-variance characteristic...
Main Authors: | Brennan, Thomas J. (Author), Lo, Andrew W. (Contributor) |
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Other Authors: | Sloan School of Management (Contributor) |
Format: | Article |
Language: | English |
Published: |
Institute for Operations Research and the Management Sciences,
2011-10-20T15:54:40Z.
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Subjects: | |
Online Access: | Get fulltext |
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