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Simplifying and generalizing some efficient frontier and CAPM related results

Ekern, Steinar
Working paper
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URI
http://hdl.handle.net/11250/227272
Date
2007-03
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  • Discussion papers (FOR) [556]
Abstract
This paper simplifies, generalizes, extends, surveys and unifies results related to the efficient

frontier in portfolio analysis and to asset pricing formulations of the Capital Asset Pricing

Model (CAPM) type. It derives the composition and properties of many central portfolios in

portfolio analysis. It also discusses and provides several CAPM type formulations involving

different portfolios. In particular, the tangency portfolio properties are presented in an

instructive and very simple way, focusing on similarities in going from the global minimum

variance portfolio via a null index portfolio whose zero beta portfolio has a zero expected

return. The Non-frontier zero beta, the Null index and the Augmented frontier CAPM

versions supplement standard CAPM formulations. More importantly, the GMVP and the

Benchmark versions of the CAPM do not rely on any zero beta portfolio, but require two

betas.
Publisher
FOR
Series
Discussion paper;12/07

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