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Two-fund separation under model mis-specification
Fund separation theorem the investors procedure asset allocation the tangency portfolio risky assets
2015/8/10
The two-fund separation theorem tells us that an investor with quadratic utility can separate her asset allocation decision into two steps: First, find the tangency portfolio (TP), i.e., the portfolio...
Two-fund separation under model mis-specification
Two-fund separation under model mis-specification
2015/7/9
The two-fund separation theorem tells us that an investor with quadratic utility can separate her asset allocation decision into two steps: First, find the tangency portfolio (TP), i.e., the portfolio...