paper
The premium of dynamic trading
Chun Hung Chiu, Xun Yu Zhou
algorithmic tradingarxiv
Description
It is well established that in a market with inclusion of a risk-free asset the single-period mean-variance efficient frontier is a straight line tangent to the risky region, a fact that is the very foundation of the classical CAPM. In this paper, it is shown that in a continuous-time market where the risky prices are described by Ito's processes and the investment opportunity set is deterministic (albeit time-varying), any efficient portfolio must involve allocation to the risk-free asset at an...
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