Mean-variance efficiency and intertemporal price for risk

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LEITNER, Johannes, 2000. Mean-variance efficiency and intertemporal price for risk

@techreport{Leitner2000Mean--12041, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Mean-variance efficiency and intertemporal price for risk}, year={2000}, number={2000/35}, author={Leitner, Johannes} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/12041"> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:42:18Z</dcterms:available> <dc:format>application/pdf</dc:format> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:42:18Z</dc:date> <dc:contributor>Leitner, Johannes</dc:contributor> <dcterms:issued>2000</dcterms:issued> <dcterms:abstract xml:lang="eng">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.</dcterms:abstract> <dc:creator>Leitner, Johannes</dc:creator> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103416863-3868037-7"/> <dcterms:title>Mean-variance efficiency and intertemporal price for risk</dcterms:title> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/12041"/> <dc:language>eng</dc:language> <dc:rights>deposit-license</dc:rights> </rdf:Description> </rdf:RDF>

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