A reinterpretation of the optimal demand for risky assets in fund separation theorems
Year of publication: |
September 2018
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Authors: | Deguest, Romain ; Martellini, Lionel ; Milhau, Vincent |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 64.2018, 9, p. 4333-4347
|
Subject: | intertemporal hedging | utility maximization | optimal portfolio | Theorie | Theory | Portfolio-Management | Portfolio selection | Hedging | Risiko | Risk | CAPM |
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