Which of the following is a justification framework for the mean-variance approach? a)if trading is continuous and asset prices follow a multi-dimensional geometric Brownian motion with drift. b)If the investors’ state-specific utility is an exponential function of the assets variance. c)If investors’ preferences for risk are inter-dependent and serially correlated with asset returns. d)If the returns of all assets follow the Mandelbrot distribution.

Which of the following is a justification framework for the mean-variance approach? a)if trading is continuous and asset prices follow a multi-dimensional geometric Brownian motion with drift. b)If the investors’ state-specific utility is an exponential function of the assets variance. c)If investors’ preferences for risk are inter-dependent and serially correlated with asset returns. d)If the returns of all assets follow the Mandelbrot distribution.

Corporate Fin Focused Approach

5th Edition

ISBN:9781285660516

Author:EHRHARDT

Publisher:EHRHARDT

Chapter6: Risk And Return

Section: Chapter Questions

Problem 1Q

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