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Which of the following is a justification framework for the mean-variance approach? a)If trading is continuous and asset prices follow a multi-dimensional geometric Brownian motion
Which of the following is a justification framework for the mean-variance approach?
a)If trading is continuous and asset prices follow a multi-dimensional geometric Brownian motion with drift. b)If the investors state-specific utility is an exponential function of the assets variance.
c)If investors preferences for risk are inter-dependent and serially correlated with asset returns. d)If the returns of all assets follow the Mandelbrot distribution.
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