The Mutual Fund Theorem and Covariance Pricing Theorems - Financial Theory - John Geanakoplos - Lecture 23 of 26 - Video-lecture

Video-lecture, Financial Theory

Description: This lecture continues the analysis of the Capital Asset Pricing Model, building up to two key results. One, the Mutual Fund Theorem proved by Tobin, describes the optimal portfolios for agents in the economy. It turns out that every investor should try to maximize the Sharpe ratio of his portfolio, and this is achieved by a combination of money in the bank and money invested in the "market" basket of all existing assets.
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University: Yale University (CT)
Address: Economics