6. Prices in a Mean–Variance World

  1. T. W. Epps

Published Online: 23 MAR 2009

DOI: 10.1002/9780470455289.ch6

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

How to Cite

Epps, T. W. (2009) Prices in a Mean–Variance World, in Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470455289.ch6

Publication History

  1. Published Online: 23 MAR 2009
  2. Published Print: 2 MAR 2009

ISBN Information

Print ISBN: 9780470431993

Online ISBN: 9780470455289

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Keywords:

  • mean-variance portfolio;
  • riskless assets;
  • Markowitz strategy;
  • market portfolio;
  • linear functions

Summary

This chapter contains sections titled:

  • The Assumptions

  • The Derivation

  • Interpretation

  • Empirical Evidence

  • Some Reflections

  • Exercises