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Keywords: reverse optimization
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2015) 4 (1): 139–148.
Published: 29 June 2015
... short selling reverse optimization G11 G12 One of the central implications of the Capital Asset Pricing Model (CAPM) is that the market portfolio is mean-variance efficient. As the market portfolio is by definition a positive portfolio (that is, all the portfolio weights are positive...
