Short Sales Restrictions and Kinks on the Mean Variance Frontier
研究卖空限制下均值方差前沿的拐点问题，指出传统观点与Ross的论断各有偏颇，拐点是否出现取决于资产预期收益是否相等。
ABSTRACT With a short sales restriction, there may be switching points along the mean variance frontier corresponding to changes in the set of assets held. Traditional wisdom holds that each switching point corresponds to a kink, while Ross has claimed that kinks never occur. This paper shows that the truth lies between the two views, since the efficient frontier may or may not be kinked at a switching point. There is some indication that kinks are rare, since a kink corresponds to a portfolio in which all assets have the same expected return.