Mutual fund theorem for continuous time markets with random coefficients
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Publication:2015032
DOI10.1007/S11238-013-9368-1zbMATH Open1410.91412arXiv0911.3194OpenAlexW3167831408MaRDI QIDQ2015032FDOQ2015032
Authors: Nikolai Dokuchaev 
Publication date: 18 June 2014
Published in: Theory and Decision (Search for Journal in Brave)
Abstract: We study the optimal investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are assumed to be independent from the driving Brownian motion, and they are supposed to be currently observable. It is shown that some weakened version of Mutual Fund Theorem holds for this market for general class of utilities; more precisely, it is shown that the supremum of expected utilities can be achieved on a sequence of strategies with a certain distribution of risky assets that does not depend on risk preferences described by different utilities.
Full work available at URL: https://arxiv.org/abs/0911.3194
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Cited In (5)
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