MULTIPERIOD PORTFOLIO ANALYSIS AND INEFFICIENCY OF MARKET PORTFOLIO

被引：10
|
作者：
GRESSIS, N
PHILIPPATOS, GC
HAYYA, J
机构：
[1] INDIANA UNIV,INDIANAPOLIS,IN 46204
[2] PENN STATE UNIV,UNIVERSITY PK,PA 16802
来源：
JOURNAL OF FINANCE | 1976年 / 31卷 / 04期
关键词：
D O I：
10.2307/2326277
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
引用
收藏
页码：1115 / 1126
页数：12
相关论文
共 50 条
  • [1] OPTIMAL MULTIPERIOD PORTFOLIO POLICIES
    MOSSIN, J
    [J]. JOURNAL OF BUSINESS, 1968, 41 (02): : 215 - 229
  • [2] TOBINS MULTIPERIOD PORTFOLIO THEOREM
    STEVENS, GVG
    [J]. REVIEW OF ECONOMIC STUDIES, 1972, 39 (120): : 461 - 468
  • [3] BENCHMARK PORTFOLIO INEFFICIENCY AND DEVIATIONS FROM THE SECURITY MARKET LINE
    GREEN, RC
    [J]. JOURNAL OF FINANCE, 1986, 41 (02): : 295 - 312
  • [4] PORTFOLIO EFFICIENCY ANALYSIS IN 3 MOMENTS - MULTIPERIOD CASE
    ARDITTI, FD
    LEVY, H
    [J]. JOURNAL OF FINANCE, 1975, 30 (03): : 797 - 809
  • [5] A MULTIPERIOD ASSET-PRICING MODEL WITH UNOBSERVABLE MARKET PORTFOLIO - A NOTE
    KAZEMI, HB
    [J]. JOURNAL OF FINANCE, 1988, 43 (04): : 1015 - 1024
  • [6] Multiperiod Mean-Variance Portfolio Optimization via Market Cloning
    Ankirchner, Stefan
    Dermoune, Azzouz
    [J]. APPLIED MATHEMATICS AND OPTIMIZATION, 2011, 64 (01): : 135 - 154
  • [7] Multiperiod Mean-Variance Portfolio Optimization via Market Cloning
    Stefan Ankirchner
    Azzouz Dermoune
    [J]. Applied Mathematics & Optimization, 2011, 64 : 135 - 154
  • [8] The Optimization on the Multiperiod Mean-VaR Portfolio Selection in Friction Market
    Zhang, Peng
    Yu, Lang
    [J]. ADVANCES IN MULTIMEDIA, SOFTWARE ENGINEERING AND COMPUTING, VOL 2, 2011, 129 : 329 - 335
  • [9] ON TOBIN'S MULTIPERIOD PORTFOLIO THEOREM
    Xiong, Heping
    Zhou, Jingming
    [J]. ROMANIAN JOURNAL OF ECONOMIC FORECASTING, 2013, 16 (03): : 199 - 208
  • [10] A MULTIPERIOD MODEL FOR THE SELECTION OF A FUTURES PORTFOLIO
    MARSHALL, JF
    HERBST, AF
    [J]. JOURNAL OF FUTURES MARKETS, 1992, 12 (04) : 411 - 428
12345