Capm

here's a very nice online book on CAPM:

http://www.ftsmodules.com/public/texts/capmtutor/capmcont.htm

helped me understand some of the issues.

 

at the risk of sounding stupid...in the following graph:



the efficient frontier is referred to as the "efficient frontier of risky assets".

Does this mean it's the efficient frontier derived from holding portfolio with return:



where all the alpha's add to one and the "market" consists of n securities (e.g. 500 for the S&P 500 for example)

[edit] - i'm pretty sure the answer is yes now, after thoroughly reading the above online book (it's essential reading i think)

 

Yes, but when you calculate portfolio return, notice that the efficient frontier of risky assets have no risk-free asset. So just make sure you don't include the risk free asset in the calcs.

Cheers.
Erik