An analytic market condition for mutual fund separation: demand for the non-sharpe ratio maximizing portfolio
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Publication:2419787
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Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- A generalized clark representation formula, with application to optimal portfolios
- An Intertemporal Capital Asset Pricing Model
- Asset Pricing in Multiperiod Securities Markets
- Asset pricing theory.
- Counterexamples in probability.
- In which financial markets do mutual fund theorems hold true?
- Mutual fund theorem for continuous time markets with random coefficients
- On investor preferences and mutual fund separation
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- The Malliavin Calculus and Related Topics
- The instantaneous capital market line
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