Inflation and Optimal Portfolio Choices

Bruno H. Solnik

Journal of Financial and Quantitative Analysis, 1978, vol. 13, issue 5, 903-925

Abstract: Capital market equilibrium has been extensively studied in the recent past, mostly in a mean-variance framework. In a perfect capital market with riskless assets and homogenous expectations among risk-averse investors, Sharpe and Lintner have shown that the efficient set of all investors could be described by only two portfolios (or mutual funds):(1) the market portfolio(2) the riskless asset.

Date: 1978
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