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Bliss Points in Mean-Variance Portfolio Models

Jones, David S. - 1981

When all financial assets have risky returns, the mean-variance portfolio model is potentially subject to two types of bliss points. One bliss point arises when a von Neumann-Morgenstern utility function displays negative marginal utility for sufficiently large end-of-period wealth, such as in...

Persistent link: https://www.econbiz.de/10012478302

Arbitrage and Mean-Variance Analysis on Large Asset Markets

Chamberlain, Gary - 1981

' result. Hence only a principal components analysis is needed to test the arbitrage pricing theory. Our eigenvalue conditional … the question of when a market with many assets permits so much diversification that risk-free investment opportunities are …

Persistent link: https://www.econbiz.de/10012478411

The Significance of the Market Portfolio

Athanasoulis, Stefano - 1997

The market portfolio is in one sense the least important portfolio to provide to investors. In an J-agent one-period stochastic endowment economy, where preferences are quadratic, a social-welfare-minded contract designer would never create a contract that would allow trading the market...

Persistent link: https://www.econbiz.de/10012472914

Bayesian Inference and Portfolio Efficiency

Kandel, Shmuel - 1993

A Bayesian approach is used to investigate a sample's information about a portfolio's degree of inefficiency. With standard diffuse priors, posterior distributions for measures of portfolio inefficiency can concentrate well away from values consistent with efficiency, even when the portfolio is...

Persistent link: https://www.econbiz.de/10012474605

Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns

Cecchetti, Stephen G. - 1992

The Euler equations derived from a broad range of intertemporal asset pricing models, together with the first two unconditional moments of asset returns, imply a lower bound on the volatility of the intertemporal marginal rate of substitution. We develop and implement statistical tests of these...

Persistent link: https://www.econbiz.de/10012474862

The Delivery of Market Timing Services : Newsletters Versus Market Timing Funds

Kane, Alex - 1991

relative to the risk free rate). We consider two delivery systems. Under the newsletter delivery system market timing …

Persistent link: https://www.econbiz.de/10012475204

Kolmogorov-Smirnov Tests For Distribution Function Similarity With Applications To Portfolios of Common Stock

Meyer, Jack - 1989

that the efficient set of portfolios for any risk averse expected utility maximizer is contained in the mean …

Persistent link: https://www.econbiz.de/10012476185

Horizon Length and Portfolio Risk

Gollier, Christian - 1997

In this paper, we compare the attitude towards current risk of two expected-utility-maximizing investors that are …-Pratt index of absolute tolerance (Tu) be convex. If we allow for a" positive risk-free rate, the necessary and sufficient …" function exhibits constant relative risk aversion …

Persistent link: https://www.econbiz.de/10012472607

Estimating Conditional Expectations when Volatility Fluctuates

Stambaugh, Robert F. - 1993

Asymptotic variance of estimated parameters in models of conditional expectations are calculated analytically assuming a GARCH process for conditional volatility. Under such heteroskedasticity, OLS estimators or parameters in single-period models can posses substantially larger asymptotic...

Persistent link: https://www.econbiz.de/10012474538

Smart Money, Noise Trading and Stock Price Behavior

Campbell, John Y. - 1988

" interact with risk-averse "smart money" investors. The model assumes that changes in exponentially detrended dividends and … prices are normally distributed, and that smart money investors have constant absolute risk aversion. In equilibrium, the … stock price is the present value of expected dividends, discounted at the riskless interest rate, less a constant risk …

Persistent link: https://www.econbiz.de/10012476336