GROWTH-OPTIMAL PORTFOLIO RESTRICTIONS ON ASSET PRICING MODELS
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Publication:4233497
DOI10.1017/S1365100597003039zbMath0918.90008OpenAlexW1970407124MaRDI QIDQ4233497
Publication date: 16 March 1999
Published in: Macroeconomic Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s1365100597003039
asset pricingequity premiumnonparametric boundsrisk-free rate puzzleabsence of arbitragegrowth-optimal portfoliofrictionless markets
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Related Items (7)
A simple robust asset pricing model under statistical ambiguity ⋮ Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model ⋮ THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS ⋮ Examining macroeconomic models through the lens of asset pricing ⋮ Dynamically consistent investment under model uncertainty: the robust forward criteria ⋮ Nonparametric assessment of hedge fund performance ⋮ Is mean-variance analysis applicable to hedge funds?
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