Comments on Whaley's note
Journal of Financial Economics · 1981 · Volume 9 · Issue 2
DOI: 10.1016/0304-405X(81)90014-3
Abstract
Valuation by duplication is a useful conceptual technique but it does not yield unique formula. Many duplicating portfolios, some simpler than the three security portfolio in Roll and Whaley, exist for this problem. Valuing the actual single security will generally yield conceptually and computationally simpler solutions.
Enable JavaScript for citation tools and additional paper interactions.