Aggregation, efficiency and mutual fund separation in incomplete markets

DOI10.1007/S001990050196MaRDI QIDQ1376965zbMATHOpenAlexFDO

Authors Piero Gottardi, Jérôme Detemple

Publication date 1 February 1998

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://cirano.qc.ca/files/publications/97s-11.pdf

zbMATH Keywords

aggregationincomplete marketscompetitive allocationsportfolio separationeffective completeness

Mathematics Subject Classification ID

General equilibrium theory (91B50)

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Cited in

(11)

• An extension of Mantel (1976) to incomplete markets
• Efficient funds for meager asset spaces
• Trade Less and Exit Overcrowded Markets: Lessons from International Mutual Funds*
• Is concentration a good idea? Evidence from active fund management
• General properties of isoelastic utility economies
• Mutual fund competition in the presence of dynamic flows
• An analytic market condition for mutual fund separation: demand for the non-sharpe ratio maximizing portfolio
• Aggregation under homogeneous ambiguity: a two-fund separation result
• \(p\)-weakly constrained Pareto efficiency and aggregation in incomplete markets
• Nash competitive equilibria and two-period fund separation
• Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model

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