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Portfolio Selection and Asset Pricing with Dynamically Incomplete Markets and Time-Varying First and Second Moments

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Author Info
Nielsen, L-T
Vassalou, M

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Abstract

We simplify Merton's fund separation theorem by showing that investors will hold hedge funds intheir optimal portfolio only to hedge against changes in the slope or position of the instantaneous capital market line.

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Publisher Info
Paper provided by Columbia - Graduate School of Business in its series Papers with number 96-23.

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Length: 31 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:fth:colubu:96-23

Contact details of provider:
Postal: U.S.A.; COLUMBIA UNIVERSITY, GRADUATE SCHOOL OF BUSINESS, PAINE WEBBER , New York, NY 10027 U.S.A
Phone: (212) 854-5553
Web page: http://www.columbia.edu/cu/business/
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Related research
Keywords: FINANCIAL MARKET PRICING

Other versions of this item:

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

Statistics
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This page was last updated on 2008-5-10.

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