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utility of terminal wealth, we prove the existence of an information premium between what is required by the theory, a …
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When assets' expected returns follow a factor structure subject to pricing errors, we show that the mean-variance portfolio can be used to obtain a set of implied factor risk premia. Contrary to the instability of the mean-variance asset portfolio, we show that such implied factor risk premia...
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problem. We then show how to construct a long-only bond portfolio that includes the worst case value in its objective or as a …
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