The instantaneous capital market line
| Autor: | Lars Tyge Nielsen, Maria Vassalou |
|---|---|
| Rok vydání: | 2006 |
| Předmět: |
Economics and Econometrics
Capital market line Financial economics Economic capital Aggregate (data warehouse) Security market line Plot (graphics) Capital allocation line Physical capital Market value added Cost of capital Incomplete markets Econometrics Economics Capital asset pricing model Capital intensity Portfolio optimization Hedge (finance) Public finance |
| Zdroj: | Economic Theory. 28:651-664 |
| ISSN: | 1432-0479 0938-2259 |
| Popis: | We show that if the intercept and slope of the instantaneous capital market line are deterministic, then investors will not hold any hedge portfolios in the sense of Merton [1973, 1990]. They will choose portfolios that plot on the capital market line, and they will slide up and down the capital market line over time as their wealth and risk tolerance change. This result allows us to aggregate over investors and derive a single factor CAPM where the first and second moments of security returns may change stochastically over time and markets are potentially incomplete. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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