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3 votes

What's the underlying idea of definition of constrained market in Skiadas' Asset Pricing The...

I have asked myself the very same question when I first read the book. As far as I can tell, the "scalability" condition is only imposed for technical reasons. It simplifies the subsequent proof of th …
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1 vote

Is the volatility of a trader's wealth equal to the volatility of the underlying assets traded?

Sure, the variance of the total wealth can be expressed in terms of the variances and covariances of the prices of the assets. If $$ W = \sum_{i} \pi_i P_i $$ where $\pi_i$ is the total dollar amount …
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