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.

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Year of publication:	2000
Authors:	Leitner, Johannes
Publisher:	Konstanz : University of Konstanz, Center of Finance and Econometrics (CoFE)
Subject:	CAPM \| Hedging \| Portfolio-Management \| Kapitalmarkttheorie \| Theorie \| Maßzahl

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Series:	CoFE Discussion Paper ; 00/35
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	870109235 [GVK] hdl:10419/85196 [Handle] RePEc:zbw:cofedp:0035 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010324061