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.

A Note on the Kinks at the Mean Variance Frontier

Basically this is an empirical study which aims to test the Markowitz Modern portfolio theory (MPT) or the mean-variance analysis. Fund managers and general investors seek a portfolio that yields maximum return with minimum risk. The problem of investors is dual in nature, as Markowitz showed, i.e., the indifferent choice of risk and return. Though, diversification reduces non-systematic risk but due to limited resources one cannot afford to invest in all stocks, therefore it is pertinent to know that what should be the minimum level of stocks in a portfolio that produces maximum return and minimum risk. The theoretical framework of Markowitz MPT tested by computed 134 months expected the return of thirtytwo stocks, thirty-one variances and 465 co-variances, in order to evaluate efficient portfolio frontier.

Determinants Of Stocks For Optimal Portfolio

One-fund theorem states that an efficient portfolio in a Mean-Variance (M-V) portfolio selection problem for a set of some risky assets and a riskless asset can be represented by a combination of a unique risky fund (tangency portfolio) and the riskless asset In this paper, we introduce a method for which the tangency portfolio can be produced as a corner portfolio So, the tangency portfolio can be computed easily and fast by any algorithm designed for tracing out the M-V efficient frontier via computing the corner portfolios Moreover, we show that how this method can be used for tracing out the M-V efficient frontier when problem contains a riskless asset in which the borrowing is not allowed

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Reza Keykhaei

Papers

Producing the tangency portfolio as a corner portfolio