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...
| Auteurs principaux: | , |
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| Format: | Journal article |
| Langue: | English |
| Publié: |
2011
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