principles of financial economics leroy and werne phần 7 pptx

principles of financial economics leroy and werne phần 7 pptx

... portfolio (h 1 , h 2 ). Substituting 17. 39 in 17. 37 and 17. 38 we obtain 2 3 = 1 3 h 1 + 1 3 (h 1 + h 2 ), ( 17. 40) and 2 3 = 1 3 (h 1 + h 2 ) + 1 3 h 2 . ( 17. 41) The solution is h 1 = h 2 = 2/3 ... Bertsekas. Necessary and sufficient conditions for existence of an optimal portfolio. Journal of Economic Theory, 8:235–2 47, 1 974 . [2] Douglas T. Breeden and Robert Litzenberger...

Ngày tải lên: 09/08/2014, 19:22

principles of financial economics leroy and werne phần 9 doc

... markets. Journal of Mathematical Economics, 19:1–38, 1990. [4] Michael Magill and Martine Quinzii. Theory of Incomplete Markets. MIT Press, 1996. [5] Roy Radner. Existence of equilibrium of plans, prices and ... (sigma-field) of events instead of a partition. The notion of general equilibrium in multidate security markets is due to Radner [5]. Radner referred to the equilibr...

Ngày tải lên: 09/08/2014, 19:22