Simple Construction of the Efficient Frontier
提出一种简单方法，通过识别一个简洁的基向量来构造资本市场线，并由此快速得到风险资产的有效前沿、切点组合等结果，适合教学和实际应用。
We provide simple methods of constructing known results. At the core of our methods is the identification of a simple concise basis that spans the Capital Market Line (CML). We show that a portfolio whose risky assets weights are the product of the inverse variance‐covariance matrix of (nonredundant) security rates of return times the vector of the excess expected rates of return over the risk‐free rate is a CML portfolio. This portfolio and the risk‐free security span the CML. In addition, with this basis, there is immediate construction of the efficient frontier of risky assets (the ‘hyperbola’), ‘tangency’ portfolios, ‘reflection’ portfolios, and a CAPM relationship. Our method is quick and simple. It is easy to derive, teach, implement, interpret, and remember.