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A note on the kinks at the mean variance frontier

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Author Info
Voros, J.
Kriens, J.
Strijbosch, L.W.G. (Tilburg University, Faculty of Economics and Business Administration)

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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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Publisher Info
Paper provided by Tilburg University, Faculty of Economics and Business Administration in its series Research Memorandum with number 743.

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Date of creation: 1997
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Handle: RePEc:dgr:kubrem:1997743

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