Portfolio Advice for a Multifactor World

Economic Perspectives XXIII (3) Third quarter 1999 (Federal Reserve Bank of Chicago), also NBER working paper 7170. This is a review and interpretation of how portfolio theory should adapt in a multifactor, predictable world described in New Facts in Finance. See especially the three dimensional update of the two fund theorem.

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Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets

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New Facts in Finance