Conditions Ensuring the Separability of Asset Demand for All Risk-Averse Investors
Year of publication: |
2004
|
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Authors: | Dachraoui, Kaïs ; Dionne, Georges |
Institutions: | Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) |
Subject: | Portfolio choice | investment effect | hedging effect | regression dependence | two-fund separation | asset-pricing model | copulas |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | D80 - Information and Uncertainty. General ; G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G12 - Asset Pricing |
Source: |
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