Fama, Eugene F. - In: Journal of Financial and Quantitative Analysis 31 (1996) 04, pp. 441-465
The concept of multifactor portfolio efficiency plays a role in Merton's intertemporal CAPM (the ICAPM), like that of mean-variance efficiency in the Sharpe-Lintner CAPM. In the CAPM, the relation between the expected return on a security and its risk is just the condition on security weights...