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1、SIMPLECONSTRUCTIONOFTHEEFFICIENTFRONTIERDavidFeldman*andHaimReisman**#November11,2002Forthcoming,EuropeanFinancialManagementAbstract.Weprovidesimplemethodsofconstructingknownresults.AtthecoreofourmethodsistheidentificationofasimpleconcisebasisthatspanstheCapitalMarketLine(CML).Weshowthataportfoliowh
2、oseriskyassetsweightsaretheproductoftheinversevariance-covariancematrixof(nonredundant)securityratesofreturntimesthevectoroftheexcessexpectedratesofreturnovertherisk-freerateisaCMLportfolio.Thisportfolioandtherisk-freesecurityspantheCML.Inaddition,withthisbasis,thereisimmediateconstructionoftheeffic
3、ientfrontierofriskyassets(the"hyperbola"),"tangency"portfolios,"reflection"portfolios,andaCAPMrelationship.Ourmethodisquickandsimple.Itiseasytoderive,teach,implement,interpret,andremember.JELCodes:G10,G11,G12KeyWords:portfoliofrontier,efficientfrontier,capitalmarketline,assetpricingCopyright©2002Dav
4、idFeldmanandHaimReisman*DepartmentofBusinessAdministration,SchoolofManagement,Ben-GurionUniversityoftheNegev,P.O.Box653,Beer-Sheva84105,ISRAEL;telephone:+972-8-647-2106,fax+972-8-647-7691,email:feldmand@bgumail.bgu.ac.il**DavidsonFacultyofManagement,TheTechnion–IsraelInstituteofTechnology,TechnionCi
5、ty,Haifa32000,ISRAEL;telephone:+972-4-829-4442,fax+972-4-823-5194,email:reisman@tx.technion.ac.il#WethankShulamithGross,ShmuelKandel,AlexKane,andLindaHutzPesanteforhelpfuldiscussions.WealsothanktheparticipantsofTheFinancialEducationAssociationAnnualConference,Baltimore,USA,TheEuropeanFinancialManage
6、mentAssociationAnnualMeeting,London,England,TheAnnualConferenceoftheMultinationalFinanceSociety,Paphos,Cyprus,andTheNorthernFinanceAssociationAnnualConference,Banff,Canada.1IntroductionWeprovidesimplemethodsofconstructingknownresults.Atthecoreofourmethodsistheidentificationofasimpleconcisebasisthats
7、panstheCapitalMarketLine(CML).Weshowthattheportfoliowhoseriskyassetsweightsaretheproductoftheinversevariance-covariancematrixof(nonredundant)securityratesofreturntimesthevectorofexcessexpectedratesofr
