Why Rational Investors Hold Different Portfolios
Unreviewed draft. This paper has not been human-reviewed.
Mathematical claims may be unverified. Use with appropriate caution.
Summary
We study a persistent tension in financial economics. Markowitz gives an optimizer, equilibrium theory points to a common market benchmark, and lifecycle finance implies investor-specific holdings that vary with horizon, mortality, bequest motive, learning, and constraints.
Length
4,609 words
Status
Draft