Show that the standard CAPM should hold even if short sales are not allowed. R,-0.04 +0.106,

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Show that the standard CAPM should hold even if short sales are not allowed.

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Modern Portfolio Theory and Investment Analysis

ISBN: 978-1118469941

9th edition

Authors: Edwin Elton, Martin Gruber, Stephen Brown, William Goetzmann

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Question Posted: Jun 10, 2015 03:37 AM

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Show that the standard CAPM should hold even if short sales are not allowed. R,-0.04 +0.106,

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R,-0.04 +0.106,

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To be rigorous one should use the four KuhnTucker conditions shown in Appendix ...View the full answer

Modern Portfolio Theory and Investment Analysis

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