A Note on Risk and the Theory of Asset Value

Yoram Peles

Journal of Financial and Quantitative Analysis, 1971, vol. 6, issue 1, 643-647

Abstract: The purpose of this note is to demonstrate that the explicit introduction of consumption patterns alters the traditional relationship between expected return and variance presented by Markowitz, Tobin, Sharpe, Lintner, and others.

Date: 1971
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