On the Endogeneity of the Mean-Variance Efficient Frontier
AbstractThe 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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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal The Journal of Economic Education.
Volume (Year): 33 (2002)
Issue (Month): 4 (January)
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