A Note on the Kinks at the Mean Variance Frontier

J. Vörös, J. Kriens, L.W.G. Strijbosch

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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.
Original languageEnglish
Place of PublicationTilburg
PublisherDepartment of Econometrics and Operations Research
Number of pages7
Volume743
Publication statusPublished - 1997

Publication series

NameFEW Research Memorandum
Volume743

Fingerprint

Efficient frontier
Mean-variance
Short sales
Expected returns

Keywords

  • portfolio investment
  • variance

Cite this

Vörös, J., Kriens, J., & Strijbosch, L. W. G. (1997). A Note on the Kinks at the Mean Variance Frontier. (FEW Research Memorandum; Vol. 743). Tilburg: Department of Econometrics and Operations Research.
Vörös, J. ; Kriens, J. ; Strijbosch, L.W.G. / A Note on the Kinks at the Mean Variance Frontier. Tilburg : Department of Econometrics and Operations Research, 1997. 7 p. (FEW Research Memorandum).
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Vörös, J, Kriens, J & Strijbosch, LWG 1997, 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.

Tilburg : Department of Econometrics and Operations Research, 1997. 7 p. (FEW Research Memorandum; Vol. 743).

Research output: Book/ReportReportProfessional

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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

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PB - Department of Econometrics and Operations Research

CY - Tilburg

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Vörös J, Kriens J, Strijbosch LWG. A Note on the Kinks at the Mean Variance Frontier. Tilburg: Department of Econometrics and Operations Research, 1997. 7 p. (FEW Research Memorandum).