Imagine a one period economy where the state price deflator is lognormally distributed with E ln and Var ln 2 What is the maximal Sharpe ratio of a risky asset (Look at Eq (4 8) ) What determines the sign of an assets Sharpe ratio ...

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Imagine a one-period economy where the state-price deflator is lognormally distributed with E[ln ] =

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Imagine a one-period economy where the state-price deflator ζ is lognormally distributed with E[ln ζ ] = μζ and Var[ln ζ ] = σ 2

ζ . What is the maximal Sharpe ratio of a risky asset? (Look at Eq. (4.8).) What determines the sign of an asset’s Sharpe ratio?

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Financial Asset Pricing Theory

ISBN: 9780198716457

1st Edition

Authors: Claus MUNK

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Question Posted: Jul 20, 2024 09:00 AM

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Imagine a one-period economy where the state-price deflator is lognormally distributed with E[ln ] =

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Financial Asset Pricing Theory

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