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On the Endogeneity of the Mean-Variance Efficient Frontier

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  • R. A. Somerville
  • Paul G. J. O'connell

Abstract

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.

Suggested Citation

  • R. A. Somerville & Paul G. J. O'connell, 2002. "On the Endogeneity of the Mean-Variance Efficient Frontier," The Journal of Economic Education, Taylor & Francis Journals, vol. 33(4), pages 357-366, December.
    • Handle: RePEc:taf:jeduce:v:33:y:2002:i:4:p:357-366
    DOI: 10.1080/00220480209595333
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    Cited by:

    1. Chi-Lu Peng & Wen-Kuei Chen & An-Pin Wei, 2021. "Teaching CAPM for a Pre-Finance Graduate Program at the STEM Undergraduate Level: Linear Algebra Perspective," Mathematics, MDPI, vol. 9(14), pages 1-22, July.

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