search query: @indexterm diversification / total: 686
reference: 183 / 686
| Author: | Bjork, T. Naslund, B. |
| Title: | Diversified portfolios in continuous time |
| Journal: | European Finance Review
1997 : /98, VOL. 1:3, p. 361-387 |
| Index terms: | DIVERSIFICATION PORTFOLIO MANAGEMENT TIME |
| Language: | eng |
| Abstract: | The authors study a financial market containing an infinite number of assets, where each asset price is driven by an idiosyncratic random source as well as by a systematic noise term. Introducing "asymptotic assets" which correspond to certain infinitely well diversifies portfolios, the authors study absence of (asymptotic) arbitrage, and in this context they obtain continuous time extensions of atemporat APT results. |
SCIMA