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. Providing an analytical description of the efficient frontier in E(Log(R))-STD(Log(R)) space, we than show that under the log-normality of returns' assumption a segmented market...
