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Which of the following is not a justification framework for the mean-variance approach? a. Continuous trading when prices follow a multi-dimensional geometric Brownian motion with
Which of the following is not a justification framework for the mean-variance approach?
a. Continuous trading when prices follow a multi-dimensional geometric Brownian motion with drift.
b. The investor's state-specific utility function is quadratic in wealth.
c. Investor's preferences for risk are inter-dependent and serially correlated with asset returns.
d. The returns on all assets are jointly normally distributed.
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