Arbeitspapier
Mean-Variance Efficiency and Intertemporal Price for Risk
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 opti- mal martingale measure divided by the zero bond price. We show the Hedging Numeraire to equal the Market Portfolio and find the mean-variance efficient portfolios.
- Sprache
-
Englisch
- Erschienen in
-
Series: CoFE Discussion Paper ; No. 00/35
- Klassifikation
-
Wirtschaft
- Thema
-
CAPM
Hedging
Portfolio-Management
Kapitalmarkttheorie
Theorie
Maßzahl
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Leitner, Johannes
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (wo)
-
Konstanz
- (wann)
-
2000
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-6184
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Leitner, Johannes
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Entstanden
- 2000
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