Zero Investment in a High Yield Asset Can be Optimal
نویسنده
چکیده
In a market with one stock and one bond, a risk averse agent would normally follow the principle of holding a positive amount of stock if and only if its mean rate of return is strictly larger than the interest rate of the bond We provide an example to show that in the latter case, it may be optimal not to invest in the stock. §
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عنوان ژورنال:
- Math. Oper. Res.
دوره 14 شماره
صفحات -
تاریخ انتشار 1989