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Adjustment costs and mean-variance efficiency in UK financial markets

  • Christopher J. Green
Part of the International Studies In Economic Modelling book series (ISIM)

Abstract

The mean-variance model has, for a long time, appeared to offer the most attractive approach to understanding the workings of financial markets.1 Beginning with the seminal works of Tobin (1958), Markovitz (1959) and Sharpe (1964), a vast body of theory has been constructed to explain a wide variety of phenomena related to portfolio choice and asset pricing.

Keywords

Asset Price Rational Expectation Capital Gain Adjustment Cost Asset Return 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Chapman and Hall Ltd 1988
31

Authors and Affiliations

  • Christopher J. Green

There are no affiliations available

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