tests of expectations theory this implication only requires rational expectations but not stationary risk premia. Therefore …

will pick a portfolio with higher risk, "gambling" on a lucky outcome, (iv), when the fee structure is endogenous, both …

incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a … nondegeneracy condition on the conditional variances of asset returns, we prove the existence of a locally risk-minimizing strategy … under the inclusion of transaction costs: The preceding strategy which is locally risk-minimizing inclusive of transaction …