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Log-normal asset pricing model
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asset returns
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efficient frontier
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mean-variance criterion
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optimal portfolios
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COHEN, ALLON
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LEVY, HAIM
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Annals of Financial Economics (AFE)
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1
THE
LOG-NORMAL
ASSET
PRICING
MODEL
(LAPM)
COHEN, ALLON
;
LEVY, HAIM
- In:
Annals of Financial Economics (AFE)
01
(
2005
)
01
,
pp. 0550002-1
We derive a discrete
Log-Normal
Asset
Pricing
Model
(LAPM) based on log-normal distributed risky asset returns …
Persistent link: https://www.econbiz.de/10010936579
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