Portfolio Choice with Many Risky Assets, Market Clearing and Cash Flow Predictability

This paper examines portfolio allocations and market clearing prices when the representative agent can allocate across equity portfolios formed on the basis of characteristics like size and book-to- market and portfolio cash flows are predictable.(...)

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Year of publication:	2000-10-01
Authors:	Lynch, Anthony
Publisher:	Salomon Center for the Study of Financial Institutions <New York, NY> / Asset Management Research Group
Subject:	Capital-Asset-Pricing-Modell \| Portfolio Selection \| Portfoliomanagement \| portfolio management \| Risikoaversion

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Extent:	817152 bytes 55 p. application/pdf
Series:	New York University - Salomon Center for the Study of Financial Institutions - Publications New York University - Salomon Center for the Study of Financial Institutions - Asset Management - Working Papers ; SC-AM-00-09
Type of publication:	Book / Working Paper
Language:	English
Classification:	Financial theory ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005846597