C hapter 5. Mean-variance frontier and beta representations. Main contents. Expected return-Beta representation Mean-variance frontier: Intuition and Lagrangian characterization An orthogonal characterization of mean-variance frontier Spanning the mean-variance frontier
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is the pricing errors
risk asset frontier
R=space of return (p=1)
Re =space of excess return (p=0)
M=space of discount factors
E =space of m-x*