What question did this study set out to answer?

The study aims to create a model for evaluating portfolios of risky assets, addressing the impact of different risk degrees on returns.

Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios

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Randomized trial develops a model for portfolio evaluation, indicating the impact of risk on returns.

The study aims to create a model for evaluating portfolios of risky assets, addressing the impact of different risk degrees on returns.
Developed an extension of the Sharpe-Lintner theory for multi-period asset trading.
Defined performance measures based on actual versus expected returns.
Applied the model to 115 open-end mutual funds from 1945 to 1964.
Established criteria to classify portfolio performance as neutral, superior, or inferior.
Derived measures of portfolio efficiency, distinguishing between efficient, super-efficient, and inefficient portfolios.
Showed the impossibility of defining efficiency solely with observable variables.

Michael C. Jensen (1969) studied this question.

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