Capital Market Equilibrium with Divergent Investment Horizon Length Assumptions
指出，当投资者持有不同长度的单期投资期限时，资本市场线与有效前沿的交点不同，导致投资者持有不同有效组合，市场组合可能无效，对资本资产定价模型构成挑战。
The Sharpe-Lintner Capital Asset Pricing Model (CAPM) has always contained an implicit question: what if all investors are single-period wealth maximizers but the length of the single period varies across investors? Gressis, Philappatos, and Hayya (GPH) [7] have pointed out that as the assumption of investment horizon length is changed, the Capital Market Line (CML) intersects the Efficient Frontier (EF) at different points causing different investors to hold different efficient portfolios. GPH assert that these different portfolio holdings will result in an inefficient market portfolio—and dire consequences for the capital market model.