An Analytic Derivation of the Efficient Portfolio Frontier
An Analytic Derivation of the Efficient Portfolio Frontier
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To quickly assess the difficulty of the text, read a short excerpt:
174). In W. Sharpe [8], Chapter 4, the figures appear to have R = ^ and a double tangency.
20 and (46) crl, ZlU'l^K ^T^i ^ ^i " ^>/(^ - ^^>* ^'^°°' (45) (Ofj^ - R)/(A - RC) and eliminating (A - RC) by combining (45) and (46), we derive (TkM (47) ^k " ^ = "^ (QfM - R), k = 1, . . . , m, which is the security market line.
21 References [1] F, Black, "Capital Market Equilibritjin with No Riskless Borrowing or Lending, " Financial Note 15A, unpublished, August, 1970, [2] D, Cass and J, Stiglitz, "T...he Structure of Investor Preferences and Asset Returns, and Separability in Portfolio Allocation: A Contribution to the Pure Theory of Mutual Funds, " Cowles Founda- tion Paper, May, 1969, [3] E. Fama, "Risk, Return, and Equilibrium, " Report 6831, University of Chicago Graduate School of Business, June, 1968, [4] M, Jensen, "Risk, The Pricing of Capital Assets, and the Evalua- tion of Investment Portfolios, " Journal of Business. Vol, 42, i^ril, 1969, [5] J, Lintner, "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets, " Review of Economies and Statistics.
What to read after An Analytic Derivation of the Efficient Portfolio Frontier?
You can find similar books in the "Read Also" column, or choose other free books by Robert C Merton to read onlineMoreLess
To quickly assess the difficulty of the text, read a short excerpt:
174). In W. Sharpe [8], Chapter 4, the figures appear to have R = ^ and a double tangency.
20 and (46) crl, ZlU'l^K ^T^i ^ ^i " ^>/(^ - ^^>* ^'^°°' (45) (Ofj^ - R)/(A - RC) and eliminating (A - RC) by combining (45) and (46), we derive (TkM (47) ^k " ^ = "^ (QfM - R), k = 1, . . . , m, which is the security market line.
21 References [1] F, Black, "Capital Market Equilibritjin with No Riskless Borrowing or Lending, " Financial Note 15A, unpublished, August, 1970, [2] D, Cass and J, Stiglitz, "T...he Structure of Investor Preferences and Asset Returns, and Separability in Portfolio Allocation: A Contribution to the Pure Theory of Mutual Funds, " Cowles Founda- tion Paper, May, 1969, [3] E. Fama, "Risk, Return, and Equilibrium, " Report 6831, University of Chicago Graduate School of Business, June, 1968, [4] M, Jensen, "Risk, The Pricing of Capital Assets, and the Evalua- tion of Investment Portfolios, " Journal of Business. Vol, 42, i^ril, 1969, [5] J, Lintner, "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets, " Review of Economies and Statistics.
What to read after An Analytic Derivation of the Efficient Portfolio Frontier?
You can find similar books in the "Read Also" column, or choose other free books by Robert C Merton to read onlineMoreLess
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