The Market Portfolio May Be Mean/Variance Efficient after All

By Moshe Levy, Richard Roll. 2010

117 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2c71dc2f6810709e0f68a95361abb316a8b10982

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Emmanouil Platanakis
2. Andrew Urquhart
3. Paraskevi Katsiampa
4. Pengfei Wang
5. Dehua Shen
6. Tetsuya Takaishi
7. Ahmet Sensoy
8. Aurelio Fernández Bariviera

In Finance

1. Andrew Urquhart
2. Emmanouil Platanakis

Citations in the corpus

• CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence (2009, unknown): “34 Levy and Roll (2010) make the interesting observation that small variations in the values”
• Should investors include Bitcoin in their portfolios? A portfolio theory approach (2020, background): “…mean-variance optimization can be unstable with a weak out-of-sample performance and this phenomenon has been well-substantiated in the portfolio theory literature (Ziemba and Mulvey, 1998; Kolm et al, 2014; Levy and Roll, 2010; Levy and Levy, 2014; Levy and Simaan, 2016; Carroll et al, 2016).”