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The endogeneity of the efficient frontier in the mean-variance model of portfolio selection is commonly obscured in the portfolio selection literature and in widely used textbooks. The authors ...

One of the classic underpinnings of Modern Portfolio Theory needs an update. In the early 1950s, Harry Markowitz's work on mean-variance optimization blazed a new investing paradigm. His Efficient ...

With a short sales restriction, there may be switching points along the mean variance frontier corresponding to changes in the set of assets held. Traditional wisdom holds that each switching point ...