Note—A Simplified Expression for the Efficient Frontier in Mean-Variance Portfolio Analysis

Published Online:https://doi.org/10.1287/mnsc.23.8.901

The identification of an important but previously overlooked technical property of minimum-variance portfolios greatly simplifies both the derivation of and the expression for the efficient frontier in mean-variance portfolio analysis. These simplifications permit a corresponding reduction in the analytics required to examine and to interpret essential properties of the model including comparative-static results and mutual-fund theorems.

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