Portfolio Selection and Asset Pricing with Dynamically Incomplete Markets and Time-Varying First and Second Moments

Lars Nielsen and M Vassalou

Working Papers from Columbia - Graduate School of Business

Abstract: We simplify Merton's fund separation theorem by showing that investors will hold hedge funds intheir optimal portfolio only to hedge against changes in the slope or position of the instantaneous capital market line.

Keywords: FINANCIAL MARKET; PRICING (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Pages: 31 pages
Date: 1996
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Working Paper: Portfolio Selection and Asset Pricing with Dynamically Incomplete Markets and Time-varying First and Second Moments (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:colubu:96-23

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