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Inflation and Optimal Portfolio Choices

Published online by Cambridge University Press:  06 April 2009

Bruno H. Solnik
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Extract

Capital market equilibrium has been extensively studied in the recent past, mostly in a mean-variance framework. In a perfect capital market with riskless assets and homogenous expectations among risk-averse investors, Sharpe and Lintner have shown that the efficient set of all investors could be described by only two portfolios (or mutual funds):

(1) the market portfolio

(2) the riskless asset.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 13 , Issue 5 , December 1978 , pp. 903 - 925
Copyright
Copyright © School of Business Administration, University of Washington 1978

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References

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