Given decreasing marginal utility, it is possible to prove that in a meanvariance framework no individual will hold 100% of his or her wealth in
Given decreasing marginal utility, it is possible to prove that in a meanvariance framework no individual will hold 100% of his or her wealth in the risk-free asset. Why? (Hint: The answer requires using the shape of investors indifference curves as well as the Capital Market Line.)
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Authors: Dorje C Brody, Lane Palmer Hughston, Andrea Macrina
1st Edition
9811246483, 978-9811246487
