Abstract
A proof of the asymptotic distribution of the estimated mean-variance frontier is given. A Bayesian prediction interval is derived for the capital asset pricing model. Numerical illustrations show that the prediction intervals for the CAPM are smaller than those for the constant mean model, if the fit of the CAPM is better than that of the constant mean model.
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Tsurumi, H. On statistical inference on the mean-variance efficient set. Rev Quant Finan Acc 2, 169–178 (1992). https://doi.org/10.1007/BF00243800
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DOI: https://doi.org/10.1007/BF00243800