| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1640 |
| DP1640 Exchange Rate Arrangements between the Ins and the Outs | |
| Paul De Grauwe | |
| 发表日期 | 1997-05-30 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | This paper simplifies Merton?s (1973) fund separation theorem by showing that investors will hold hedge funds in their optimal portfolio only to hedge against changes in the slope or position of the instantaneous capital market line. This result allows for incomplete markets and does not assume that the securities prices are Markovian. By aggregating, we derive a single factor capital asset pricing model (CAPM) with a constant capital market line, where the first and second moments of security returns may change over time and markets are potentially incomplete. This model is consistent with some autoregressive conditional heteroscedastic in mean (ARCH?M) and generalized ARCH?M (GARCH?M) specifications from the recent empirical literature. It differs from the consumption CAPM by allowing capital market incompleteness and by the fact that the single factor is the return to the market portfolio rather than aggregate consumption. The model resolves the paradox of Rosenberg and Ohlson (1976). |
| 主题 | Financial Economics |
| 关键词 | Capital market line Incomplete markets Intertemporal capital asset pricing model Mutual fund separation Portfolio optimization |
| URL | https://cepr.org/publications/dp1640 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530780 |
| 推荐引用方式 GB/T 7714 | Paul De Grauwe. DP1640 Exchange Rate Arrangements between the Ins and the Outs. 1997. |
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