Dachraoui, K.; Dionne, G. - HEC Montréal (École des Hautes Études Commerciales) - 2000
In this note we analyze the hedging property of an optimal portfolio with one risk-free asset and two risky assets. We make a restriction on the dependence between the two risky assets and show that the sign of the covariance is necessary and sufficient to set the relative investments in the two...