Aggregation, efficiency and mutual fund separation in incomplete markets

DOI10.1007/S001990050196zbMATH Open0891.90023OpenAlexW2038439435MaRDI QIDQ1376965FDOQ1376965

Jérôme Detemple, Piero Gottardi

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

Recommendations

• Aggregation under homogeneous ambiguity: a two-fund separation result
• The two-fund separation theorem revisited
• A generalization of the mutual fund theorem
• Prices as factors: approximate aggregation with incomplete markets.
• A theorem on portfolio separation with general preferences

zbMATH Keywords

aggregationincomplete marketscompetitive allocationsportfolio separationeffective completeness

Mathematics Subject Classification ID

General equilibrium theory (91B50)

Cited In (11)

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

This page was built for publication: Aggregation, efficiency and mutual fund separation in incomplete markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1376965)