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

Author

Listed:
  • Nielsen, L-T
  • Vassalou, M

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.

Suggested Citation

  • Nielsen, L-T & Vassalou, M, 1996. "Portfolio Selection and Asset Pricing with Dynamically Incomplete Markets and Time-Varying First and Second Moments," Papers 96-23, Columbia - Graduate School of Business.
    • Handle: RePEc:fth:colubu:96-23
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    Keywords

    FINANCIAL MARKET ; PRICING;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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