EFFICIENT ASSET PORTFOLIOS AND THE THEORY OF NORMAL BACKWARDATION

被引:110
作者
CARTER, CA [1 ]
RAUSSER, GC [1 ]
SCHMITZ, A [1 ]
机构
[1] UNIV CALIF BERKELEY,BERKELEY,CA 94720
关键词
D O I
10.1086/261148
中图分类号
F [经济];
学科分类号
02 ;
摘要
引用
收藏
页码:319 / 331
页数:13
相关论文
共 16 条
[1]  
Bodie Z., 1980, FINANCIAL ANAL J, V36, P27, DOI [10.2469/faj.v36.n3.27, DOI 10.2469/FAJ.V36.N3.27]
[2]  
CAMPANELLA FB, 1972, MEASUREMENT PORTFOLI
[3]  
COOTNER PH, 1960, J POLIT ECON, V68, P396, DOI 10.1086/258347
[5]  
Keynes J.M., 1930, TREATISE MONEY, Vii
[6]   ESTIMATION OF TIME-VARYING SYSTEMATIC RISK AND PERFORMANCE FOR MUTUAL FUND PORTFOLIOS - APPLICATION OF SWITCHING REGRESSION [J].
KON, SJ ;
JEN, FC .
JOURNAL OF FINANCE, 1978, 33 (02) :457-475
[8]   SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION [J].
LINTNER, J .
JOURNAL OF FINANCE, 1965, 20 (04) :587-616
[9]  
MUNDLAK Y, 1979, 76 U CAL DEP AGR RES
[10]  
SAMUELSON PA, 1965, IMR-IND MANAG REV, V6, P41