A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems

In a continuous-time portfolio selection model with N risky assets and K state variables driving their risk and return parameters, we derive simple expressions for the allocation to each asset in the K + 1 risky funds of the ( K + 2)-fund separation theorem. We show that the allocation to any given...

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Veröffentlicht in:	Management science 2018-09, Vol.64 (9), p.4333-4347
Hauptverfasser:	Deguest, Romain, Martellini, Lionel, Milhau, Vincent
Format:	Artikel
Sprache:	eng
Schlagworte:	Assets Demand Hedging Hedging (Finance) intertemporal hedging Mathematical optimization Methods optimal portfolio Portfolio management utility maximization Variables
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