Oct. 2, 2018

The CAPM (Capital Asset Pricing Model) has been around since the 60s and is often found as a justification for the notion of the portfolio's efficient frontier. The following HTML file starts to question that argumentation. You usually see CAPM models showing a few securities in order to make the concept clear and easy to understand. You find them not only compelling but also reasonable as if a matter of fact it should not be any other way.

However, when you dig deeper, you find scenarios where the thing might not hold water.

The following HTML file has for origin a Jupyter notebook.

For the complete Jupyter notebook, where you can modify the program code, simply clone the linked notebook in the Quantopian forum. (Registration on Quantopian is free. As of October 2020, the Quantopian was shut down).

Created... October 2,  2018, © Guy R. Fleury. All rights reserved.