Mean-Variance Efficiency and Intertemporal Price for Risk

Johannes Leitner

No 00/35, CoFE Discussion Papers from University of Konstanz, Center of Finance and Econometrics (CoFE)

Abstract: In a continuous time, arbitrage free, non-complete market with a zero bond, we find the intertemporal price for risk to equal the standard deviation of the discounted variance opti- mal martingale measure divided by the zero bond price. We show the Hedging Numeraire to equal the Market Portfolio and find the mean-variance efficient portfolios.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cofedp:0035

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