The premium of dynamic trading
It is well established that, in a market with inclusion of a risk-free asset, the single-period mean-variance efficient frontier is a straight line tangent to the risky region, a fact that is the very foundation of the classical CAPM. In this paper, it is shown that, in a continuous-time market wher...
| Main Authors: | , |
|---|---|
| 格式: | Journal article |
| 語言: | English |
| 出版: |
2011
|