Portfolio Selection and Asset Pricing with Dynamically Incomplete Markets and Time-Varying First and Second Moments.

We simplify Merton's fund separation theorem by showing that investors will hold hedge funds intheir optimal portfolio only to hedge against changes in the slope or position of the instantaneous capital market line.

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Year of publication:	1996
Authors:	Nielsen, L-T ; Vassalou, M
Institutions:	Graduate School of Business, Columbia University
Subject:	FINANCIAL MARKET \| PRICING

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Series:	Columbia - Graduate School of Business.
Type of publication:	Book / Working Paper
Notes:	31 pages
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005663882