Therefore, the Markowitz Efficient portfolio was also called the
mean-variance efficient portfolio. Whereas in the modern portfolio theory approach to investment, it started with the assumption that investors have spent a certain amount of money on investment these days.
"The Sampling Error in Estimates of
Mean-Variance Efficient Portfolio Weights." The Journal of Finance, vol.
In addition, the object of Equation (3) is the optimal
mean-variance efficient portfolio for n securities rather than the market equilibrium.
Furthermore, in Section 4, we employ the results in Section 3 and the Lagrange multiplier method to obtain the
mean-variance efficient portfolio and efficient frontier.
For example, the investor could use the Markowitz
mean-variance efficient portfolio approach; the Bayes-Stein shrinkage portfolio approach; or any of the 'data-and-model' approaches.
[10] Britten-Jones, Mark, 1999, The sampling error in estimates of
mean-variance efficient portfolio weights, Journal of Finance 54, 655-671.
If so, you still want to solve the mean-variance problem of figure 1, and you still want a
mean-variance efficient portfolio. The important implication of a multifactor world is that you, the mean-variance investor, should no longer hold the market portfolio.
(2) The term `market' here refers to the set of assets in the
mean-variance efficient portfolio. If this set of assets coincided with the entire range of assets available in the market, then our tests would be a test of the CAPM hypothesis.