C - Mathematical and Quantitative Methods - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T09:16:14+00:00On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk
https://www.bankofcanada.ca/2008/05/working-paper-2008-16/
The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called twofund separation relies on special assumptions on either returns or preferences.2008-05-22T15:31:14+00:00enOn Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk2008-05-22Financial marketsMarket structure and pricingWorking Paper 2008-16 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp08-16.pdfOn Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards RiskFousseni Chabi-YoEric GhyselsEric RenaultMay 2008CC5C52DD5D58GG1G11G12