Publisher |
Forgotten Books |
Publication Year |
2018 |
ISBN-13 |
9781332260744 |
ISBN-10 |
9781332260744 |
Binding |
Paperback |
Number of Pages |
100 Pages |
Language |
(English) |
Dimensions (Cms) |
15.2 x 0.53 x 22.9 |
Weight (grms) |
156 |
Excerpt from Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision-Making Over Many Periods
Aside from its algebraic tractability, the mean-variance model has in terest because of its separation property. Therefore, great interest inhered in the cass-stiglitz elucidation of the broader conditions under which such a property must hold regardless of the probability distribution of rd turns. The Special families of utility functions with constant-relative risk aversions or constant-absolute - risk aversions further gained in inter est§ But it was realized that real-life utilities need not be of so simple a form
Robert C Merton
Forgotten Books