Korkie, Bob; Turtle, Harry J - In: Review of Quantitative Finance and Accounting 9 (1997) 3, pp. 289-300
This paper extends the mathematics developed by Merton (1972) to the limiting investment opportunity set as smaller risk assets are added. Investment opportunity sets of risky assets are well-known to be described by hyperbolas in mean-standard deviation space. In practice, the asset classes in...
