Boyle, Phelim P. (contributor); Uppal, Raman (contributor); … - 2003 - [Elektronische Ressource]
variables for the N −1 stocks other than j.
We assume that agents do not have precise knowledge of the distribution of the …). The basic intuition here is that since investors do
not have precise knowledge of the true probability distribution of … assumed that agents have perfect knowledge
of the underlying return distribution, this would lead to π
j
= π
−j
,sothat the …