A SIMPLE MODEL OF NON-STATIONARITY OF SYSTEMATIC RISK

Authors

  • Menachem Brenner,

  • Seymour Smidt

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    • Jerusalem School of Business, Hebrew University and Graduate School of Business and Public Administration, Cornell University, respectively. We would like to thank Bernell Stone, T. C. Liu, Amihud Dotan and Henry A. Latané and Marshall E. Blume, referees of this Journal, for helpful comments.

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