| Article ID: | iaor2000909 |
| Country: | Netherlands |
| Volume: | 112 |
| Issue: | 1 |
| Start Page Number: | 236 |
| End Page Number: | 239 |
| Publication Date: | Jan 1999 |
| Journal: | European Journal of Operational Research |
| Authors: | Kriens J., Strijbosch L.W.G., Vrs J. |
| Keywords: | programming: quadratic, programming: parametric |
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.