principles of financial economics leroy and werne phần 3 docx

... 17 .39 in 17 .37 and 17 .38 we obtain2 3 =1 3 h1+1 3 (h1+ h2), (17.40) and 2 3 =1 3 (h1+ h2) +1 3 h2. (17.41)The solution is h1= h2= 2 /3 which giveske=2 3 ,4 3 ,2 3 . ... is h1= 2 /3, h2= 5 /3, which giveskq=2 3 ,7 3 ,5 3 . (17. 53) ✷NotesComprehensive treatments of the theory of Hilbert spaces can be found in Luenberger [5], Dudley [3] , and Young ... (1, 1/2, 3/ 2) and its standard deviation isσ(kq) =1√6. (18 .33 )The risk-free return ¯r equals 1 and the Sharpe ratios of returns r1 and r2areE(r1) −1σ(r1)= 0, (18 .34 ) and E(r2)...

... ( 23. 15)Consequently, we can rewrite the optimization problem 23. 11 asmaxcu(c) ( 23. 16)subject to 23. 14 and 23. 15. If markets are dynamically complete, then M(p) = Rk and restriction 23. 15 ... Journal of Mathematical Economics, 22:4 63 478, 19 93. [2] J. Michael Harrison and David M. Kreps. Martingales and arbitrage in multiperiod securitiesmarkets. Journal of Economic Theory, 20 :38 1–408, ... Existence of equilibrium of plans, prices and price expectations in a sequenceeconomy. Econometrica, 40:289 30 3, 1972.217224 BIBLIOGRAPHY 236 CHAPTER 24. VALUATIONPart VIIIMartingale Property of...