Revisiting Static Portfolio Theory for Hara Investors

20 Pages Posted: 5 Sep 2007

See all articles by Iñaki Rodríguez-Longarela

Iñaki Rodríguez-Longarela

Stockholm University - Stockholm Business School; UiT-The Arctic University of Norway - School of Business and Economics

Date Written: February 14, 2006

Abstract

The implications of the two-fund separation theorem have been carefully examined in the literature for the case of mean-variance preferences. However, even though the two-fund theorem applies to the whole class of HARA utility functions, its implications for the efficiency sets spanned by these preferences are much less known. Without dealing with general equilibrium issues, the goal of this paper is to show how most of the well-known constructions which arise in connection with the former subclass, extend in a relatively natural way to the whole latter set of preferences.

Suggested Citation

Rodríguez Longarela, Iñaki, Revisiting Static Portfolio Theory for Hara Investors (February 14, 2006). Available at SSRN: https://ssrn.com/abstract=686995 or http://dx.doi.org/10.2139/ssrn.686995

Iñaki Rodríguez Longarela (Contact Author)

Stockholm University - Stockholm Business School ( email )

Stockholm
Sweden

UiT-The Arctic University of Norway - School of Business and Economics ( email )

Tromsø, 9037
Norway

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