On the Endogeneity of the Mean-Variance Efficient Frontier

The endogeneity of the efficient frontier in the mean-variance model of portfolio selection is commonly obscured in the portfolio selection literature and in widely used textbooks. The authors demonstrate this endogeneity and discuss the impact of parameter changes on the mean-variance efficient frontier and on the beta coefficients of individual assets.

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Year of publication:	2002
Authors:	Somerville, R. A. ; Paul G. J. Oâ€™Connell
Published in:	Journal of Economic Education. - Helen Dwight Reid Foundation, ISSN 0022-0485. - Vol. 33.2002, 4, p. 357-366
Publisher:	Helen Dwight Reid Foundation
Subject:	asset pricing \| CAPM \| efficient frontier \| portfolio selection

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Extent:	application/pdf
Type of publication:	Article
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005600630