|edoc-Server der Humboldt-Universität zu Berlin|
Yonggan Zhao, Nanyang Technological University, Singapore|
William T. Ziemba, University of British Columbia, Vancouver
|Title:||Intertemporal mean-variance efficiency with a Markovian state price density|
|Date of Acceptance:||30.09.2003|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10059197)|
|Keywords (eng):||Mean-Variance Efficiency, Mutual Fund Separation, Utility Maximization, Equilibrium, Intertemporal CAPM, Markovian State Price Density|
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|print on demand: If you click on this icon you can order a print copy of this publication.|
|Diese Seite taggen: These icons lead to social bookmarking systems where you can create and manage personal bookmarks and discover bookmakrs of other users.|
|This paper extends Merton's continuous time (instantaneous) mean-variance analysis and the mutual fund separation theory. Given the existence of a Markovian state price density process, the optimal portfolios from concave utility maximization are instantaneously mean-variance efficient independent of the concave utility function's form. The Capital Asset Pricing Model holds with the market portfolio induced by the growth optimal portfolio. The Markowitz-Tobin mutual fund separation is extended to include the lognormal assumption for asset prices as a special case. Closed form solutions to the expected utility maximization of terminal portfolio value are derived. We present an example in which the state price processes are specified as a multivariate geometric Brownian motion and the asset prices follow a multivariate diffusion process with relatively general parameters.|
These data concerning access statistics for individual documents
have been compiled using the webserver log files aggregated by AWSTATS.
They refer to a monthly access count to the full text documents as well as to the entry page.
As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.
To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.
Gesamtzahl der Zugriffe seit May 2011: