Consistent with intuition, when the proportion of wealth held in fisheries assets declines so does the capital market line expected return, as the portfolio becomes less risky.
Meulbroek (2001) argues their expected return is a point on the capital market line (as in equations (1) and (5)).
To finish labeling the Portfolio worksheet select cell A134 and enter Sum of Weights; A135, enter Portfolio Variance; A136, enter Portfolio Standard Deviation; A137, enter Portfolio Return; and A138, enter Capital Market Line
. Now that the cell labeling is finished we can proceed to computing statistics for the three matrices.
However, this implies that there is no intersection with CML anymore, implying that investment policy would have to beat the capital market line
, which is not possible on the longer run.
The problem here is specified as maximising a Lagrange function formed from expression (8), subject to the overall budget constraint equation (6), where the rates of return in the discount factors (F) are taken to be the certainty equivalent values, incorporating the capital market lines
for each period from 1 to n, equation (1).
government bonds) on the Capital Market Line
(tangent to the MEF).
The efficient frontier is often referred to as the "capital market line