๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Dynamic portfolio choice under asset price lognormality

โœ Scribed by Alain Nairay

Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
597 KB
Volume
24
Category
Article
ISSN
0898-1221

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

Dynamic portfolio choice and asset prici
Dynamic portfolio choice and asset pricing with differential information
โœ Chunsheng Zhou ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 207 KB

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.

Portfolio selection and asset pricing un
Portfolio selection and asset pricing under a benchmark approach
โœ Eckhard Platen ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 152 KB

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