Do Asset-Demand Functions Optimize over the Mean and Variance of Real Returns? A Six-Currency Test
收藏NBER1982-12-01 更新2025-01-04 收录
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https://www.nber.org/papers/w1051
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资源简介：
International asset demands are functions of expected returns.Optimal portfolio theory tells us that the coefficients in this relationship depend on the variance-covariance matrix of real returns.But previous estimates of the optimal portfolio (1) assume expected returns constant and (2) are not set
提供机构：
美国国家经济研究局
创建时间：
1982-12-01
