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Mean-Variance Analysis

Kerry E. Back

in Asset Pricing and Portfolio Choice Theory

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190241148
eISBN:
9780190241179
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190241148.003.0005
Subject:
Economics and Finance, Financial Economics

The mean‐variance frontier is characterized with and without a risk‐free asset. The global minimum variance portfolio and tangency portfolio are defined, and two‐fund spanning is explained. The ... More


Continuous-Time Portfolio Choice and Pricing

Kerry E. Back

in Asset Pricing and Portfolio Choice Theory

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190241148
eISBN:
9780190241179
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190241148.003.0014
Subject:
Economics and Finance, Financial Economics

The Euler equation is defined. The static approach can be used to derive an optimal portfolio in a complete market and when the investment opportunity set is constant. In the latter case, the optimal ... More


Equilibrium and Efficiency

Kerry E. Back

in Asset Pricing and Portfolio Choice Theory

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190241148
eISBN:
9780190241179
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190241148.003.0004
Subject:
Economics and Finance, Financial Economics

Pareto optima and competitive equilibria are defined. Allocations are functions of market wealth (sharing rules) in Pareto optima, which means that all risks except market wealth are perfectly ... More


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