An analytic market condition for mutual fund separation: demand for the non-sharpe ratio maximizing portfolio

DOI10.1007/S10690-018-9261-6zbMath1414.91341OpenAlexW2901242028WikidataQ128816644 ScholiaQ128816644MaRDI QIDQ2419787

Toru Igarashi

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

zbMATH Keywords

risk aversionnuméraire portfolioportfolio choicemutual fund separation

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On investor preferences and mutual fund separation
• Mutual fund theorem for continuous time markets with random coefficients
• In which financial markets do mutual fund theorems hold true?
• The instantaneous capital market line
• A generalized clark representation formula, with application to optimal portfolios
• The Malliavin Calculus and Related Topics
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Asset Pricing in Multiperiod Securities Markets
• An Intertemporal Capital Asset Pricing Model

This page was built for publication: An analytic market condition for mutual fund separation: demand for the non-sharpe ratio maximizing portfolio