The paper presents classical and new results on portfolio optimization, as well as the fair pricing concept for derivative pricing under the benchmark approach. The growth optimal portfolio is shown to be a central object in a market model. It links asset pricing and portfolio optimization. The pape
Asset pricing and portfolio selection based on
โ Scribed by C. J. Adcock
- Publisher
- Springer US
- Year
- 2009
- Tongue
- English
- Weight
- 440 KB
- Volume
- 176
- Category
- Article
- ISSN
- 0254-5330
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๐ SIMILAR VOLUMES
This paper presents a multi-asset intertemporal general equilibrium model of portfolio selection and asset pricing with differential information. A method of Sargent (1991) is used to resolve the 'infinite regress' problem in information extraction and to derive a rational expectations equilibrium.
## a b s t r a c t In this paper, the Kapur cross-entropy minimization model for portfolio selection problem is discussed under fuzzy environment, which minimizes the divergence of the fuzzy investment return from a priori one. First, three mathematical models are proposed by defining divergence as