Fischer Black (1972) developed a version of the CAPM without risk free borrowing or lending. He shows that the market portfolio is mean-variance-efficint can be obtained by instead allowing unrestricted short sales of risky assests: Can you explain about what is meant by Fischer Black verison of CAPM

Fischer Black (1972) developed a version of the CAPM without risk free borrowing or lending. He shows that the market portfolio is mean-variance-efficint can be obtained by instead allowing unrestricted short sales of risky assests: Can you explain about what is meant by Fischer Black verison of CAPM

Financial Management: Theory & Practice

16th Edition

ISBN:9781337909730

Author:Brigham

Publisher:Brigham

Chapter25: Portfolio Theory And Asset Pricing Models

Section: Chapter Questions

Problem 4P

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If we are speaking about the CAPM model and undiversifiable risks. Then what is meant by returns which are not captured by the market return.
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