haku: @author Long, J. B. / yhteensä: 5
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| Tekijä: | Long, J. B. |
| Otsikko: | The numeraire portfolio |
| Lehti: | Journal of Financial Economics
1990 : JUL, VOL. 26:1, p. 29-69 |
| Asiasana: | PORTFOLIO MANAGEMENT FINANCING RATE OF RETURN ASSETS |
| Kieli: | eng |
| Tiivistelmä: | A portfolio formed from a given list of assets is defined as a numeraire portfolio for the list if (a) it is self-financing, (b) its value is always positive, and (c) zero is always the best conditional forecast of the numeraire-dominated rate of return of every asset on the list. The numeraire portfolio exists if and only if there are no profit opportunities from trading assets on the list. For a sample list of heterogenous assets, numeraire-dominated returns are similar to market-model forecast errors and, as abnormal return measures, clearly dominate market-adjusted returns. |
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