摘要：Sharpe's efficient frontier or “capital market line” which is based on Markowitz's nonlinear efficient frontier consists of all different combinations of risky assets and is based on several assumptions, which displays the preference of this frontier to Markowitz's mean-variance efficient frontier (Busser, 1977; Merton, 1972). Although, this theory is effective for investing companies which holds unlimited amount of resources and huge amount of funds, it does not have any application for individuals who do not tend to borrow or lend and are willing to invest in limited number of shares. The most underlying purpose of this article is to present a mathematical model and to demonstrate the methods of investment in limited number of shares in a way that the unsystematic risk which the market does not reward is minimized.
关键词：Capital market line; capital asset pricing model (CAPM); efficient frontier; systematic risk; unsystematic risk; mean-variance analysis; linear programming
