Abstract
A market portfolio plays an important role in many financial theories and models. It is at the heart of the capital asset pricing model and other multivariate models. Because of the market portfolio cannot be observed directly, proxy portfolios must be used to conduct empirical studies. Unfortunately, many studies found these proxies to be inefficient and even removed from the efficient frontier. According to two-fund separation theorem, we take two steps to discover the efficient market portfolio. Our thinking is straightforward and proves that our market portfolio is not only an efficient portfolio but also is situated on the capital market line. Many researches have shown that the market portfolio is extremely sensitive to performance measurements. Hence, our findings may significantly influence financial research.
| Original language | English |
|---|---|
| Pages (from-to) | 104-116 |
| Number of pages | 13 |
| Journal | Romanian Journal of Economic Forecasting |
| Volume | 15 |
| Issue number | 4 |
| Publication status | Published - 2012 Dec 1 |
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All Science Journal Classification (ASJC) codes
- Economics, Econometrics and Finance(all)
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An analytic derivation of the efficient market portfolio. / Guo, Zion; Huang, Hsin Yi.
In: Romanian Journal of Economic Forecasting, Vol. 15, No. 4, 01.12.2012, p. 104-116.Research output: Contribution to journal › Article
TY - JOUR
T1 - An analytic derivation of the efficient market portfolio
AU - Guo, Zion
AU - Huang, Hsin Yi
PY - 2012/12/1
Y1 - 2012/12/1
N2 - A market portfolio plays an important role in many financial theories and models. It is at the heart of the capital asset pricing model and other multivariate models. Because of the market portfolio cannot be observed directly, proxy portfolios must be used to conduct empirical studies. Unfortunately, many studies found these proxies to be inefficient and even removed from the efficient frontier. According to two-fund separation theorem, we take two steps to discover the efficient market portfolio. Our thinking is straightforward and proves that our market portfolio is not only an efficient portfolio but also is situated on the capital market line. Many researches have shown that the market portfolio is extremely sensitive to performance measurements. Hence, our findings may significantly influence financial research.
AB - A market portfolio plays an important role in many financial theories and models. It is at the heart of the capital asset pricing model and other multivariate models. Because of the market portfolio cannot be observed directly, proxy portfolios must be used to conduct empirical studies. Unfortunately, many studies found these proxies to be inefficient and even removed from the efficient frontier. According to two-fund separation theorem, we take two steps to discover the efficient market portfolio. Our thinking is straightforward and proves that our market portfolio is not only an efficient portfolio but also is situated on the capital market line. Many researches have shown that the market portfolio is extremely sensitive to performance measurements. Hence, our findings may significantly influence financial research.
UR - http://www.scopus.com/inward/record.url?scp=84873848022&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84873848022&partnerID=8YFLogxK
M3 - Article
AN - SCOPUS:84873848022
VL - 15
SP - 104
EP - 116
JO - Romanian Journal of Economic Forecasting
JF - Romanian Journal of Economic Forecasting
SN - 1582-6163
IS - 4
ER -