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Asset allocation with differential borrowing and lending rates

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  • Olson, Dennis
  • Bley, Jorg

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File URL: http://www.sciencedirect.com/science/article/B6W4V-4P2YWXB-5/2/c4e8ad16be91eee0ea00d55725397920
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Bibliographic Info

Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 17 (2008)
Issue (Month): 4 (October)
Pages: 629-643

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Handle: RePEc:eee:reveco:v:17:y:2008:i:4:p:629-643

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Web page: http://www.elsevier.com/locate/inca/620165

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  1. Brennan, M. J., 1971. "Capital Market Equilibrium with Divergent Borrowing and Lending Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(05), pages 1197-1205, December.
  2. Isabelle Bajeux-Besnainou & James V. Jordan & Roland Portait, 2001. "An Asset Allocation Puzzle: Comment," American Economic Review, American Economic Association, vol. 91(4), pages 1170-1179, September.
  3. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
  4. Elton, Edwin J. & Gruber, Martin J., 2000. "The Rationality of Asset Allocation Recommendations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(01), pages 27-41, March.
  5. Niko Canner & N. Gregory Mankiw & David N. Weil, 1994. "An Asset Allocation Puzzle," NBER Working Papers 4857, National Bureau of Economic Research, Inc.
  6. Katerina Simons, 1999. "Should U.S. investors invest overseas?," New England Economic Review, Federal Reserve Bank of Boston, issue Nov, pages 29-40.
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