ERIC Number: EJ679972
Record Type: CIJE
Publication Date: 2002
On the Endogeneity of the Mean-Variance Efficient Frontier.
Somerville, R. A.; O'Connell, Paul G. J.
Journal of Economic Education, v33 n4 p357-66 Fall 2002
Explains that the endogeneity of the efficient frontier in the mean-variance model of portfolio selection is commonly obscured in portfolio selection literature and in widely used textbooks. Demonstrates endogeneity and discusses the impact of parameter changes on the mean-variance efficient frontier and on the beta coefficients of individual assets. (JEH)
Publication Type: Journal Articles; Reports - Descriptive
Education Level: N/A
Authoring Institution: N/A
Note: The Journal of Economic Education is a referred journal.