BENCHMARK PORTFOLIO INEFFICIENCY AND DEVIATIONS FROM THE SECURITY MARKET LINE

被引：24

作者：

GREEN, RC

机构：

来源：

关键词：

D O I：

10.2307/2328436

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：295 / 312

页数：18

共 10 条

DYBVIG, PH ;

ROSS, SA .

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[3]

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[4]

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[5] ANALYTIC DERIVATION OF EFFICIENT PORTFOLIO FRONTIER [J].

MERTON, RC .

[6] ORTHOGONAL PORTFOLIOS [J].

ROLL, R .

[7] AMBIGUITY WHEN PERFORMANCE IS MEASURED BY SECURITIES MARKET LINE [J].

ROLL, R .

ROLL, R .

[9]

Ross S., 1976, RISK RETURN FINANCE, P189

[10]

SHANKEN J, 1984, EQUILIBRIUM FACTORS