Abstract
Implementing Markowitz's generalized model of optimal portfolio selection using a factor model is a practical alternative to the calculation of the full variance-covariance matrix of security returns. This note investigates whether the efficient frontier of bond returns is sensitive to how a two-factor model is estimated. An analysis of 19 bond categories with different maturities indicates that the efficient fromtiers obtained are sensitive to the choice of estimation method. Copyright © 1991 Published by Elsevier B.V.
| Original language | English |
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| Pages (from-to) | 417-421 |
| Journal | Economics Letters |
| Volume | 37 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - Dec 1991 |