Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision-Making Over Many Periods

Author:

Robert C Merton

Publisher:

Forgotten Books

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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

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