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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

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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Bibliographic 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

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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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For corrections or technical questions regarding this item, or to correct its listing, contact: (Thomas Krichel).

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Keywords: FINANCIAL MARKET ; PRICING;

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