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dc.contributor.authorUkhov, Andrey D.
dc.description.abstractWe study the mean-variance optimization problem when investment opportunities are changing. We add a new risky asset to a set of n risky assets. An analytical relation between the original and the new minimum-variance frontiers is established. The two frontiers have a tangency point. We derive a new mutual fund theorem. All portfolios in the new minimum-variance set are portfolio combinations of three mutual funds: The two funds located on the original frontier and the third fund containing all assets. Analytical framework developed in the paper has implications for studies of testability of the mean-variance efficiency of a market portfolio (Roll critique). Implications for models of financial innovation are discussed.
dc.rightsRequired Publisher Statement: © Elsevier. Final version published as: Ukhov, A. D. (2006). Expanding the frontier one asset at a time. Finance Research Letters, 3(3), 194-206. DOI: 10.1016/ Reprinted with permission. All rights reserved.
dc.subjectmean-variance analysis
dc.subjectefficient frontier
dc.subjectmutual fund separation theorem
dc.subjectroll critique
dc.subjectfinancial innovation
dc.titleExpanding the Frontier One Asset at a Time
dc.description.legacydownloadsUkhov11_Expanding_the_Frontier_one_asset_at_a_time.pdf: 296 downloads, before Aug. 1, 2020.
local.authorAffiliationUkhov, Andrey D.: Cornell University

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