In which financial markets do mutual fund theorems hold true?

DOI10.1007/s00780-008-0072-xzbMath1199.91279arXiv0710.1909OpenAlexW2134708011MaRDI QIDQ2271725

Erik Taffin, Mihai Sîrbu, Walter Schachermayer

Publication date: 8 August 2009

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

Full work available at URL: https://arxiv.org/abs/0710.1909

zbMATH Keywords

completenessreplicationnuméraire portfolioEuropean optionMutual fund

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Utility theory (91B16) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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