The Market Portfolio May Be Mean/Variance Efficient After All
研究发现，只需对样本参数做微小调整（在估计误差范围内），许多常用的市场代理组合就能变得均值/方差有效，从而与资本资产定价模型一致，可用于估计预期收益。
Numerous studies have examined the mean/variance efficiency of various market proxies by employing sample parameters and have concluded that these proxies are inefficient. These findings cast doubt about the capital asset pricing model (CAPM), one of the cornerstones of modern finance. This study adopts a reverse-engineering approach: given a particular market proxy, we find the minimal variations in sample parameters required to ensure that the proxy is mean/variance efficient. Surprisingly, slight variations in parameters, well within estimation error bounds, suffice to make the proxy efficient. Thus, many conventional market proxies could be perfectly consistent with the CAPM and useful for estimating expected returns.