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3 Two-Period Model: Mean-Variance Approach

  • Thorsten Hens
  • Marc Oliver Rieger
Chapter
  • 440 Downloads
Part of the Springer Texts in Business and Economics book series (STBE)

Abstract

There are two risky assets, k = 1, 2 and one risk-free asset with return of 2%. Risky assets cannot be short sold. The expected returns of the risky assets are μ1 := 5% and μ2 := 7.5%. The covariance matrix is:
$$\displaystyle COV := \begin {pmatrix}2\% & -1\%\\ -1\% & 4\% \end {pmatrix}.$$

Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2019

Authors and Affiliations

  • Thorsten Hens
    • 1
  • Marc Oliver Rieger
    • 2
  1. 1.Department of Banking and FinanceUniversity of ZurichZürichSwitzerland
  2. 2.Department of Business AdministrationUniversity of TrierTrierGermany

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