A Mean-Variance Benchmark for Intertemporal Portfolio Theory
将均值-方差投资组合理论扩展到跨期现金流（如股息），发现最优收益可分解为无风险收益和长期均值-方差有效收益，长期预期收益随长期市场贝塔和外部收入贝塔变化，状态变量对冲不出现。
ABSTRACT Mean‐variance portfolio theory can apply to streams of payoffs such as dividends following an initial investment. This description is useful when returns are not independent over time and investors have nonmarketed income. Investors hedge their outside income streams. Then, their optimal payoff is split between an indexed perpetuity—the risk‐free payoff—and a long‐run mean‐variance efficient payoff. “Long‐run” moments sum over time as well as states of nature. In equilibrium, long‐run expected returns vary with long‐run market betas and outside‐income betas. State‐variable hedges do not appear.