Spanning and Capital Market Theories
Ser-Huang Poon
Chapter 11 in Advanced Finance Theories, 2018, pp 163-192 from World Scientific Publishing Co. Pte. Ltd.
Abstract:
This chapter is based on Merton (1990, Chapter 2, Section 2.4) where investment and asset pricing are evaluated in a static one-period framework without consumption. We have adopted all the numbers for Definition, Theorems and Corollary from Merton (1990, Chapter 2)…
Keywords: Intertemporal Portfolio Selection; Capital Structure; General Equilibrium; Spanning; Mutual Fund Theorem; Jumps; Incomplete Markets (search for similar items in EconPapers)
JEL-codes: G30 (search for similar items in EconPapers)
Date: 2018
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