An analytic market condition for mutual fund separation: demand for the non-sharpe ratio maximizing portfolio
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Publication:2419787
DOI10.1007/S10690-018-9261-6zbMATH Open1414.91341OpenAlexW2901242028WikidataQ128816644 ScholiaQ128816644MaRDI QIDQ2419787FDOQ2419787
Publication date: 4 June 2019
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-018-9261-6
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Cites Work
- The Malliavin Calculus and Related Topics
- An Intertemporal Capital Asset Pricing Model
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- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Asset pricing theory.
- The instantaneous capital market line
- A generalized clark representation formula, with application to optimal portfolios
- Counterexamples in probability.
- Asset Pricing in Multiperiod Securities Markets
- In which financial markets do mutual fund theorems hold true?
- On investor preferences and mutual fund separation
- Mutual fund theorem for continuous time markets with random coefficients
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