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| Tekijä: | Ziegler, A. |
| Otsikko: | Optimal portfolio choice under heterogenous beliefs |
| Lehti: | European Finance Review
2000 : VOL. 4:1, p. 1-19 |
| Asiasana: | EXCHANGE EQUILIBRIUM PORTFOLIO INVESTMENT |
| Kieli: | eng |
| Tiivistelmä: | This paper analyzes how an investor who is convinced that he can "beat the market" should behave when the equilibrium price process is endogenous. The investor's optimal portfolio is shown to consist of three components: 1. a tangency portfolio, 2. a hedge portfolio against changes in the market's valuation for securities, and 3. a hedging position against changes in the divergence between the investor's and the market's beliefs. |
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