... 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—and not a little...

... 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...

... and Richard Roll 2015 Critical Finance Review and Moshe Levy and Richard Roll Licensed re-use rights only Mean-variance analysis CAPM portfolio optimization short selling reverse optimization G11 G12 One of the central implications of the Capital Asset Pricing Model (CAPM...