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A Note on the Kinks at the Mean Variance Frontier

Vörös,J.
; 
Kriens,J.
; 
Strijbosch,L.W.G.
Abstract
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 statement is false.For the existence of kinks at the efficient frontier the sufficient condition is given here and a new procedure is used to derive the efficient frontier, i.e. the characteristics of the mean variance frontier.
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Pagination: 7
Date
1997
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Department of Econometrics and Operations Research
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Tilburg University Research Output Collection
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743.pdf
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Keywords
portfolio investment, variance
Citation
Vörös, J, Kriens, J & Strijbosch, L W G 1997, A Note on the Kinks at the Mean Variance Frontier. FEW Research Memorandum, vol. 743, vol. 743, Department of Econometrics and Operations Research, Tilburg.
URI
https://hdl.handle.net/20.500.14602/86669
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