标题: cfai vs schweser on markowitz assumptions [打印本页] 作者: mkytz15 时间: 2011-7-13 15:04 标题: cfai vs schweser on markowitz assumptions
CFAI says that the Markowitz conclusions of linearity of risk and one universal portfolio may not hold if BOTH of the following two assumptions are violated:
1. Investors can borrow without limit at the risk-free rate.
2. Investors can short without limit, and with immediate use of proceeds.
Schweser says that Markowitz may fail if EITHER of these assumptions are violated.
No erratum published on either side about this. I presume CFAI is correct?
