..., the capital asset pricing model (CAPM) holds for any combination of CPT investors and expected utility maximizers. © 2016 J. E. Ingersoll, Jr. 2025 J. E. Ingersoll, Jr. Licensed re-use rights only Cumulative Prospect Theory Two-Fund Separation Optimal Portfolios CAPM Extreme-Risk Avoidance...

...Thomas J. Brennan; Andrew W. Lo In Brennan and Lo (2010) , a mean-variance efficient frontier is defined as “impossible” if every portfolio on that frontier has negative weights, which is incompatible with the Capital Asset Pricing Model (CAPM) requirement that the market portfolio is mean...

... CAPM Mean-Variance Analysis Portfolio Optimization Roll Critique Shortselling Long/Short G11 G12 In a recent paper, Brennan and Lo (2010) , henceforth BL, have argued that impossible mean-variance frontiers are almost inevitable in markets with a large number of assets. They define...

...Moshe Levy; Richard Roll A totally positive mean-variance efficient aggregate market portfolio–one with no negative weights–is the key equilibrium feature of the Capital Asset Pricing Model (CAPM). Brennan and Lo (2010) designate an efficient frontier as “impossible” when every efficient...

..., and on the incremental role of characteristics such as accruals, asset growth, and stock issuance that have received significant attention in recent years. My paper also relates to Fama and French (1997) , Simin (2008) , and Levi and Welch (2014) , who show that the capital asset pricing model (CAPM) and Fama...