### Abstract

Original language | English |
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Place of Publication | Tilburg |

Publisher | Department of Econometrics and Operations Research |

Number of pages | 7 |

Volume | 743 |

Publication status | Published - 1997 |

### Publication series

Name | FEW Research Memorandum |
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Volume | 743 |

### Fingerprint

### Keywords

- portfolio investment
- variance

### Cite this

*A Note on the Kinks at the Mean Variance Frontier*. (FEW Research Memorandum; Vol. 743). Tilburg: Department of Econometrics and Operations Research.

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*A Note on the Kinks at the Mean Variance Frontier*. FEW Research Memorandum, vol. 743, vol. 743, Department of Econometrics and Operations Research, Tilburg.

**A Note on the Kinks at the Mean Variance Frontier.** / Vörös, J.; Kriens, J.; Strijbosch, L.W.G.

Research output: Book/Report › Report › Professional

TY - BOOK

T1 - A Note on the Kinks at the Mean Variance Frontier

AU - Vörös, J.

AU - Kriens, J.

AU - Strijbosch, L.W.G.

N1 - Pagination: 7

PY - 1997

Y1 - 1997

N2 - 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.

AB - 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.

KW - portfolio investment

KW - variance

M3 - Report

VL - 743

T3 - FEW Research Memorandum

BT - A Note on the Kinks at the Mean Variance Frontier

PB - Department of Econometrics and Operations Research

CY - Tilburg

ER -