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The World Price Of Covariance Risk：（协方差的世界价格风险）
American Finance Association
The World Price of Covariance Risk
Author(s): Campbell R. Harvey
Source: The Journal of Finance, Vol. 46, No. 1 (Mar., 1991), pp. 111-157
Published by: Blackwell Publishing for the American Finance Association
Stable URL: /stable/2328691
Accessed: 30/03/2010 21:31
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THE JOURNAL OF FINANCE * VOL. XLVI, NO. 1 * MARCH 1991
The World Price of Covariance Risk
CAMPBELL R. HARVEY*
ABSTRACT
In a financially integrated global market, the conditionally expected return on a
portfolio of securities from a particular country is determined by the
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