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Keywords: Long/Short
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2015) 4 (1): 149–155.
Published: 29 June 2015
... 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...
Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2015) 4 (1): 157–171.
Published: 29 June 2015
... Finance Review and Thomas J. Brennan and Andrew W. Lo 2013 Critical Finance Review and Thomas J. Brennan and Andrew W. Lo Licensed re-use rights only CAPM Mean-Variance Analysis Portfolio Optimization Roll Critique Shortselling Long/Short G11 G12 We are immensely gratified...
