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.
- Language
-
Englisch
- Bibliographic citation
-
Series: CoFE Discussion Paper ; No. 00/35
- Classification
-
Wirtschaft
- Subject
-
CAPM
Hedging
Portfolio-Management
Kapitalmarkttheorie
Theorie
Maßzahl
- Event
-
Geistige Schöpfung
- (who)
-
Leitner, Johannes
- Event
-
Veröffentlichung
- (who)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (where)
-
Konstanz
- (when)
-
2000
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-6184
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Leitner, Johannes
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Time of origin
- 2000
Other Objects (12)
Intertemporal mean-variance efficiency with a Markovian state price density
A comparison of mean-variance efficiency tests
A comparison of mean-variance efficiency tests
Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
Mean-variance portfolio efficiency under leverage aversion and trading impact
Mean variance hedging in the presence of additionally observed market prices
Optimierung eines Mean-Variance Portfolios
Mean-Variance Space for Evaluations
Mean-Variance Hedging for Continuous Processes
Mean-Variance Cointegration and the Expectations Hypothesis
Mean-Variance Hedging under Additional Market Information
Mean-variance cointegration and the expectations hypothesis
Intertemporal mean-variance efficiency with a Markovian state price density
A comparison of mean-variance efficiency tests
A comparison of mean-variance efficiency tests
Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
Mean-variance portfolio efficiency under leverage aversion and trading impact
Mean variance hedging in the presence of additionally observed market prices
Optimierung eines Mean-Variance Portfolios
Mean-Variance Space for Evaluations
Mean-Variance Hedging for Continuous Processes
Mean-Variance Cointegration and the Expectations Hypothesis
Mean-Variance Hedging under Additional Market Information
Mean-variance cointegration and the expectations hypothesis
Intertemporal mean-variance efficiency with a Markovian state price density
A comparison of mean-variance efficiency tests
A comparison of mean-variance efficiency tests
Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
Mean-variance portfolio efficiency under leverage aversion and trading impact
Mean variance hedging in the presence of additionally observed market prices
Optimierung eines Mean-Variance Portfolios
Mean-Variance Space for Evaluations
Mean-Variance Hedging for Continuous Processes
Mean-Variance Cointegration and the Expectations Hypothesis
Mean-Variance Hedging under Additional Market Information