Publikation: Mean-variance efficiency and intertemporal price for risk
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2000
Autor:innen
Leitner, Johannes
Herausgeber:innen
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Working Paper/Technical Report
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Zusammenfassung
In a continuous time, arbitrage free, non-complete market with a zero bond, we find the intertemporal price for risk to equal the standard deviation of the discounted variance optimal martingale measure divided by the zero bond price. We show the Hedging Numéraire to equal the Market Portfolio and find the mean-variance efficient portfolios.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
Schlagwörter
CAPM, Market Portfolio, Sharpe-Ratio, Price for Risk, Mean-Variance Efficient Frontier, Hedging Numéraire
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LEITNER, Johannes, 2000. Mean-variance efficiency and intertemporal price for riskBibTex
@techreport{Leitner2000Meanv-12041, year={2000}, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Mean-variance efficiency and intertemporal price for risk}, number={2000/35}, author={Leitner, Johannes} }
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