Conditions for Myopic Valuation and Serial Independence of the Market Excess Return in Discrete Time Models

Conditions for Myopic Valuation and Serial Independence of the Market Excess Return in Discrete Time Models

  • GUNTER FRANKE

Article first published online: 30th April 2012 DOI: 10.1111/j.1540-6261.1984.tb02318.x

Abstract


In a multiperiod pure exchange world with investors displaying HARA‐preferences, conditions for period‐by‐period application of one‐period asset pricing models are derived first. The future investment opportunity set may be uncertain, provided that in every period a specific market portfolio variable depending on preferences is known as of the preceding date. This variable need not be completely deterministic.

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