(Im)Possible Frontiers: A Comment (Critical Finance Review 2015)

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Authors Title Journal Year Edition Pages JEL Codes Keywords
Moshe Levy, Richard Roll (Im)Possible Frontiers: A Comment Critical Finance Review 2015 - 139–48 G11, G12 Mean-variance analysis, CAPM, Portfolio optimization, Short selling, Reverse optimization

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
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This article is a replication of

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Thomas J. Brennan, Andrew W. Lo Impossible Frontiers Management Science 2010 6 905-23 - Short selling, Long/short, Portfolio optimization, Mean-variance analysis, CAPM 3 - reproduction (new methods) 2 - different results - 1 - yes 1 - rejected results


DOI: 10.1561/104.00000015 IDEAS: a/now/jnlcfr/104.00000015.html EconPapers: RePEc:now:jnlcfr:104.00000015

Reply: Thomas J. Brennan and Andrew W. Lo (2015), "Reply to “(Im)Possible Frontiers: A Comment”", Critical Finance Review: Vol. 4: No. 1, pp 157-171. DOI: 10.1561/104.00000026 IDEAS/RePEC: a/now/jnlcfr/104.00000026.html EconPapers: RePEc:now:jnlcfr:104.00000026

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