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Showing 1 to 1 of 1 for “"Market Security Economy"”.
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Modeling risk of the multi-period market portfolio: an equilibrium-based approach
This thesis studies risk of the multi-period market portfolio, both instantaneously and over time, using an equilibrium-based approach. For instantaneous properties, we first show that the representative investor‟s problem of maximizing the expected utility of lifetime consumption, aka Merton‟s …