Mean-Variance Efficiency and Intertemporal Pricefor 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:	2000-11
Authors:	Leitner, Johannes
Institutions:	Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften

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Extent:	application/pdf
Series:	CoFE Discussion Paper.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 00-35 36 pages longPages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005741209