JoeyDVivre

JoeyDVivre Wrote:
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> remember that this
> statement is a consequence of all those
> assumptions about investors in CAPM that you
> surely don't believe (because they aren't true)
> incl. all of them have the same quadratic loss
> utility function which they all use to maximize
> their individual utilities, they are all rational,
> they understand and can predict all the
> risks/returns for all possible securities, yada,
> yada...

Economics grad?


> If all these things are true, you invest your
> risky assets in the tangency portfolio because all
> other portfolios are inferior. If that's the one
> everyone invests in, by definition it's the market
> portfolio. It's not really the S&P 500; it's all
> the investable assets in the world.

Good answer.



Edited 1 time(s). Last edit at Friday, October 22, 2010 at 04:18PM by defone.