Variance Minimization And the Theory of Inflation Hedging
Variance Minimization And the Theory of Inflation Hedging
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In our eReader you can find the full English version of the book. Read Variance Minimization And the Theory of Inflation Hedging Online - link to read the book on full screen. Our eReader also allows you to upload and read Pdf, Txt, ePub and fb2 books. In the Mini eReder on the page below you can quickly view all pages of the book - Read Book Variance Minimization And the Theory of Inflation Hedging
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The mln Lmnm-variance portfolio is in principle composed of all available securities. Assume that there are n + 1 such securities, with the n + Ist being nominal bonds. In part II of the paper we view the minimum variance portfolio as being composed of just two securities: the nominal bond and the portfolio of the other n securities, which we refer to as the optimal inflation-hedge security, or simply the hedge, security. Part II tries to relate the effectiveness and the cost of hedging to the ...parameters of Lhc joint probability distribution of the real returns on the two component securities.
-9- ParL III dc;als with the composition of the optimal inflation-hedge portfolio, while part IV tries to indicate how uncertainty about the parameters of the joint probability distribution of security returns affects one's ability to hedge against inflation. In part V we try to relate the theory of inflation hedging developed in the previous parts of the paper to modem portfolio theory, and specifically, to the capital asset pricing model.
What to read after Variance Minimization And the Theory of Inflation Hedging?
You can find similar books in the "Read Also" column, or choose other free books by Zvi Bodie to read onlineMoreLess
To quickly assess the difficulty of the text, read a short excerpt:
The mln Lmnm-variance portfolio is in principle composed of all available securities. Assume that there are n + 1 such securities, with the n + Ist being nominal bonds. In part II of the paper we view the minimum variance portfolio as being composed of just two securities: the nominal bond and the portfolio of the other n securities, which we refer to as the optimal inflation-hedge security, or simply the hedge, security. Part II tries to relate the effectiveness and the cost of hedging to the ...parameters of Lhc joint probability distribution of the real returns on the two component securities.
-9- ParL III dc;als with the composition of the optimal inflation-hedge portfolio, while part IV tries to indicate how uncertainty about the parameters of the joint probability distribution of security returns affects one's ability to hedge against inflation. In part V we try to relate the theory of inflation hedging developed in the previous parts of the paper to modem portfolio theory, and specifically, to the capital asset pricing model.
What to read after Variance Minimization And the Theory of Inflation Hedging?
You can find similar books in the "Read Also" column, or choose other free books by Zvi Bodie to read onlineMoreLess
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