Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85196
Authors: 
Leitner, Johannes
Year of Publication: 
2000
Series/Report no.: 
CoFE Discussion Paper 00/35
Abstract: 
In a continuous time, arbitrage free, non-complete market with a zero bond, we find the intertemporal price for risk to equal the standard deviation of the discounted variance opti- mal martingale measure divided by the zero bond price. We show the Hedging Numeraire to equal the Market Portfolio and find the mean-variance efficient portfolios.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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