Orthogonal Portfolios
纠正了一个普遍但错误的观点：对于给定的市场指数，所有零贝塔投资组合的预期回报相同且最小方差零贝塔组合唯一。实际上，只有指数均值方差有效时才成立，非有效指数在不同预期回报水平上都有零贝塔组合，其最小方差组合构成一条“正交前沿”，对资产定价实证研究有重要意义。
There is a false, but widely-held belief about orthogonal (“zero-beta”) portfolios: for a given market index, all zero-beta portfolios have the same expected return and the minimal-variance, zero-beta portfolio is unique. This is true only when the index is mean/variance efficient. Every nonefficient index possesses zero-beta portfolios at all levels of expected return. For a given index, minimal-variance zero-beta portfolios corresponding to different expected returns lie along an “orthogonal frontier” in the mean/variance space. The frontier has some unusual properties which turn out to be relevant for empirical work on asset pricing. It is functionally related to deviations about the “securities market line.”