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.
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.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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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 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
d)If the returns of all assets follow the Mandelbrot distribution.
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