the Markowitz mean-variance framework to derive estimates of the pre-tax, real risk-return tradeoff curve currently facing … an investor in the U.S. capital markets. Some of the major findings are: 1) Bills are the cornerstone of any low-risk … investment strategy. The minimum-risk portfolio has a mean real rate of return of zero and a standard deviation of about 1%. The …

can tolerate more risk in their investment portfolios than the old. The model has other implications for the study of …

more general expected utility maximization in continuous time, the assumptions of constant relative risk aversion and joint … discrete time constant relative risk aversion and joint normally distributed asset return assessments are sufficient to yield …

it is found that symmetry implies a particular type of risk averse portfolio behavior. The symmetry restriction is also …

these securities represent the only true long-run hedge against inflation risk. CPI-linked bonds make possible the creation … indexation of benefits in private pension plans. A firm could hedge the risk associated with a long-term indexed liability by …