A generalization of the mutual fund theorem

DOI10.1007/S007800050056MaRDI QIDQ1297918zbMATH OpenOpenAlexFDO

Authors Ajay Khanna, M. Kulldorff

Publication date 14 September 1999

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s007800050056

zbMATH Keywords

incomplete marketportfolio selectioncontinuous timereduction methodseparation theorem

Mathematics Subject Classification ID

Gaussian processes (60G15) Economic growth models (91B62) Optimal stochastic control (93E20)

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• Mutual fund theorem for continuous time markets with random coefficients
• A general theorem for portfolio generating functions
• scientific article; zbMATH DE number 3856767 (Why is no real title available?)
• An efficient ex-ante criterion for ranking investment strategies
• Portfolio theory for \(\alpha\)-symmetric and pseudoisotropic distributions: \(k\)-fund separation and the CAPM
• OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES
• Portfolio separation properties of the skew-elliptical distributions, with generalizations
• Dimension reduction and mutual fund theorem in maximin setting for Bond market
• On the structure of multifactor optimal portfolio strategies
• Static fund separation of long-term investments
• On investor preferences and mutual fund separation
• The two-fund separation theorem revisited
• An analytic market condition for mutual fund separation: demand for the non-sharpe ratio maximizing portfolio
• Bankruptcy in long-term investments

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