The instantaneous capital market line

DOI10.1007/S00199-005-0638-1zbMath1145.91353OpenAlexW3125777710MaRDI QIDQ2502342

Lars Tyge Nielsen, Maria Vassalou

Publication date: 12 September 2006

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00199-005-0638-1

zbMATH Keywords

Incomplete marketsPortfolio optimizationCapital market lineMutual fund separation.

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (8)

Understanding dynamic mean variance asset allocation ⋮ Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences ⋮ Factor investing for the long run ⋮ An analytic market condition for mutual fund separation: demand for the non-sharpe ratio maximizing portfolio ⋮ Increasing risk aversion and life-cycle investing ⋮ The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts ⋮ Reaching nirvana with a defaultable asset? ⋮ Equilibrium in securities markets with heterogeneous investors and unspanned income risk

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