On the Endogeneity of the Mean-Variance Efficient Frontier

R. A. Somerville and Paul G. J. O'connell

The Journal of Economic Education, 2002, vol. 33, issue 4, 357-366

Abstract: 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 demonstrate this endogeneity and discuss the impact of parameter changes on the mean-variance efficient frontier and on the beta coefficients of individual assets.

Date: 2002
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DOI: 10.1080/00220480209595333

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