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The portfolios which have the best trade-off between expected returns and variance risk lie on this line. The tangency point is the optimal portfolio of risky assets, known as the market portfolio. Under the assumptions of mean-variance analysis — that investors seek to maximize their expected return for a given amount of variance risk, and that there is a risk-free rate of return — all investors will select portfolios which lie on the CML.
Individual investors will either hold just the risk-free asset, or some combination of the risk-free asset and the market portfolio, depending on their risk-aversion. As an investor moves up the CML, the overall portfolio risk and return increases.
Risk averse investors will select portfolios close to the risk-free asset, preferring low variance to higher returns. Less risk averse investors will prefer portfolios higher up on the CML, with a higher expected return, but more variance.
The Sharpe ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. The greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.
And while the measure of risk in the CML the standard deviation of returns total riskthe risk measure in the SML is systematic riskor beta. Securities that plot above the CML or the SML are generating returns that are too high for the given risk and are underpriced.
Securities that plot below CML or the SML are generating returns that are too low for the given risk and are overpriced. The efficient frontier of optimal portfolios was identified by Markowitz inand James Tobin included the risk-free rate to modern portfolio theory in page 3 of 9 capital markets view fourth q for institutional and investment professional use only outlook equity insights long-term view unfavorable favorable japan.
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