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

Robert C. Merton

Couverture souple

ISBN 10 : 1332260748 ISBN 13 : 9781332260744

Editeur : Forgotten Books, 2018

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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A propos du livre

Présentation de l'éditeur

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Détails de l'édition

• Éditeur: Forgotten Books
• Date d'édition: 2018
• Langue: anglais
• ISBN 10: 1332260748
• ISBN 13: 9781332260744
• Reliure: Broché
• Nombre de pages: 99
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