Geometry of unconditionally efficient portfolios formed with conditioning information: the efficient semicircle

Andrew F. Siegel

Quantitative Finance, 2021, vol. 21, issue 6, 881-889

Abstract: A surprising ‘Efficient Semicircle’ emerges in risk-return space, restricting all conditional portfolios to this unusual non-hyperbolic frontier

Date: 2021
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DOI: 10.1080/14697688.2020.1837922

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