An Analytic Derivation of the Efficient Market Portfolio
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More about this item
Keywordsasset allocation; two-fund separation; capital market line; HJB equation; dynamic programming setting;
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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