Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision-Making Over Many Periods (Classic Reprint) - Couverture rigide
Synopsis
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.
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Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision-Making Over Many Periods (Classic Reprint)
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