文章基本信息

标题：Pedagogical Note: The Correlation of the Risk-Free Asset and the Market Portfolio Is Not Zero
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作者：Ronald W. Best ; Chrles W. Hodges ; James A. Yoder 等
期刊名称：B Quest
电子版ISSN：1084-3981
出版年度：2017
出版社：Richards College of Business, University of West Georgia
摘要：The correlation coefficient between the risk-free asset and the market portfolio isundefined. However, many finance textbooks either explicitly or implicitly indicate that it is zerowhen discussing portfolio selection. In this paper, we discuss how the error arises and showhow to correctly reach the appropriate conclusions. Hopefully, bringing attention to this issue willhelp instructors present the concept without confusing students.