A generalization of the mutual fund theorem

DOI10.1007/S007800050056zbMATH Open0926.91022OpenAlexW2094108073MaRDI QIDQ1297918FDOQ1297918

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

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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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