The Capm Relation for Inefficient Portfolios

Abstract

Following empirical evidence that—contrary to CAPM predictions—found little relation between expected rates of return and betas, the relation has been investigated extensively. Roll and Ross (1994) (RR) and Kandel and Stambaugh (1995) are seminal works. In this context, within a Markowitz world (finite number of nonredundant risky securities with finite… (More)

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