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DeMiguel et al. (2009) report that na¨ıve diversification dominates mean-variance optimization in out-of-sample asset allocation tests. Our analysis suggests that this is largely due to their research design, which focuses on mean-variance efficient portfolios that are subject to high estimation risk and extreme turnover. We find that mean-variance(More)
Course Objectives This course covers equilibrium and no-arbitrage asset pricing in discrete and continuous time. We will derive classic results in asset pricing theory, including the Capital Asset Pricing Model, Arbitrage Pricing Theory, Merton's continuous time model, the CIR model, the Black-Scholes model, and rational expectations equilibrium models. The(More)
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