Abstract :
Based on the careful analysis of the definition of arbitrage portfolio and its return, the author presents a mean–variance analysis of the return of arbitrage portfolios, which implies that Korkie and Turtleʹs results ( B. Korkie, H.J. Turtle, A mean–variance analysis of self-financing portfolios, Manage. Sci. 48 (2002) 427–443) are misleading. A practical example is given to show the difference between the arbitrage portfolio frontier and the usual portfolio frontier.
