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A note on the kinks at the mean variance frontier

Author

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  • Voros, 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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Suggested Citation

  • Voros, J. & Kriens, J. & Strijbosch, L. W. G., 1999. "A note on the kinks at the mean variance frontier," European Journal of Operational Research, Elsevier, vol. 112(1), pages 236-239, January.
    • Handle: RePEc:eee:ejores:v:112:y:1999:i:1:p:236-239
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    References listed on IDEAS

    as
    1. Dybvig, Philip H, 1984. "Short Sales Restrictions and Kinks on the Mean Variance Frontier," Journal of Finance, American Finance Association, vol. 39(1), pages 239-244, March.
    2. Voros, J., 1987. "The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity," European Journal of Operational Research, Elsevier, vol. 32(2), pages 302-310, November.
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    Cited by:

    1. József Móczár, 2010. "Anatomy and Lessons of the Global Financial Crisis," Public Finance Quarterly, State Audit Office of Hungary, vol. 55(4), pages 753-775.

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