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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
