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TimeSeries Durbin Regression of the TwoFactor
Footnotes Chapter I
Properties of the Portfolio Frontier
27 other sections not shown
20 portfolios Appendix assumed assumption average Bm(p borrowing and lending CAPM CAPM-UI Chapter coefficients correlation cov(rp covariance CROSS-SECTIONAL REGRESSION cross-sectional tests debt decile portfolios derived DURBIN ESTIMATES E(ip E(rf E(rp E(rt empirical tests equal equilibrium excess returns expected exponential utility exposure to inflation folio follows frontier portfolio homoscedasticity implies independent indifference curves individual interest rate investment assets investors J. A. Livingston linear combination market portfolio matrix MEAN(i MEAN(ip-io)t measurement errors ML estimators net-debtor/net-creditor hypothesis nominal betas nominal rate normally distributed null hypothesis obtained One-Factor Market Model oooooooooo OOOOOOOOOOOOOOOOOOOO optimum portfolios Period t-1 portfolio frontier portfolios formed rate of inflation rate of return real betas real rate residuals risk aversion riskless asset exists risky assets Sample Period securities semester Significant theorem time-series regressions traditional form Two-Factor Market Model uncertain inflation unexpected inflation utility function valuation equation var(r var(X variables variance-covariance matrix zc(f zc(m zero zero-beta