An investor with unit wealth maximises the expected value of the utility function U(a) ax br2 and obtains a mean variance efficient portfolio A friend of his with wealth W and the same utility function does the same calculations, but get a different portfolio return However, changing b to b' does ...

An investor with unit wealth maximises the expected value of the utility function U(a): = ax...

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Introduction To Mathematical Statistics And Its Applications

ISBN: 9780321693945

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Authors: Richard J. Larsen, Morris L. Marx

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An investor with unit wealth maximises the expected value of the utility function U(a): = ax...

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Introduction To Mathematical Statistics And Its Applications

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