Adjustment costs and mean-variance efficiency in UK financial markets

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


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.


Asset Price Rational Expectation Capital Gain Adjustment Cost Asset Return 
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© Chapman and Hall Ltd 1988

Authors and Affiliations

  • Christopher J. Green

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