By Cheng-Few Lee
Twelve papers specialise in funding research, portfolio concept, and their implementation in portfolio administration
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Extra info for Advances in Investment Analysis and Portfolio Management, Volume 9 (Advances in Investment Analysis and Portfolio Management)
R. (1988b). Dividend yields and expected stock returns. Journal of Financial Economics, 22, 3–25. Faugère, C. (1993). Essays on the dynamics of technical progress. D. thesis, University of Rochester. French, K. , Schwert, G. , & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of Financial Economics, 19, 3–29. Hansen, L. , & Singleton, K. J. (1983). Stochastic consumption, risk aversion and the temporal behavior of asset returns. Journal of Political Economy, 91(2), 249–265.
6. Efficient frontiers with short sales are rather complicated and are not necessarily continuous. We defer discussion of the short sale conditions to a future paper. 7. Unlike other textbooks, Markowitz’s texts correctly graph v (vertical axis) against k (horizontal axis). The concavity or piecewise parabolic property of the efficient frontier over the k Ϫ v space has important implications: a potential multiple equilibria in the capital market. 28 CHIN W. YANG, KEN HUNG AND FELICIA A. YANG 8.
The Portfolio Selection Model Without Short Sale. 062 singular variance-covariance matrix). As a result, the sign of d2(v1/2)/dk2 is arbitrary since v1/2 is positive. That is, the sign of its inverse or dk2/d2(v1/2) (the curvature of the efficient frontier in most investment texts) can not be determined without additional qualifications. It may be neither concave nor convex over the k Ϫ v1/2 space using the Elton and Gruber example. While the concavity of the efficient frontier over the k Ϫ v1/2 space is frequently drawn for the capital market equilibrium, it is A Note on the Markowitz Risk Minimization 27 generally not true.