principles of financial economics leroy and werne phần 8 pot

... ( 18. 18) Given the above results, the set of expected returns and standard deviations of returns are as indicated in Figures 18. 6 and 18. 7. 18. 4 Zero-Covariance Frontier Returns Since the set of ... k q (Figure 18. 8). 18. 7.1 Example In Example 18. 3.1, the pricing kernel k q equals (1, 1/2, 3/2) and its standard deviation is σ(k q ) = 1 √ 6 . ( 18. 33) The risk-free retur...

... Journal of Mathematical Economics, 22:463–4 78, 1993. [2] J. Michael Harrison and David M. Kreps. Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20: 381 –4 08, ... Results of Duffie and Shafer [2] (see also Duffie [1]) imply that for a generic set of agents’ endowments and securities’ dividends an equilibrium exists. 2 28 CHAPTER 23. DYN...