In which financial markets do mutual fund theorems hold true?

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In which financial markets do mutual fund theorems hold true?

Author Info

Walter Schachermayer ()
Mihai Sîrbu ()
Erik Taflin ()

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Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 13 (2009)
Issue (Month): 1 (January)
Pages: 49-77
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Handle: RePEc:spr:finsto:v:13:y:2009:i:1:p:49-77

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September. [Downloadable!] (restricted)
Foldes, Lucien, 2000. "Valuation and martingale properties of shadow prices: An exposition," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1641-1701, October. [Downloadable!] (restricted)
Martin Kulldorff & Ajay Khanna, 1999. "A generalization of the mutual fund theorem," Finance and Stochastics, Springer, vol. 3(2), pages 167-185. [Downloadable!] (restricted)
Cass, David & Stiglitz, Joseph E., 1970. "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds," Journal of Economic Theory, Elsevier, vol. 2(2), pages 122-160, June. [Downloadable!] (restricted)
Julien Hugonnier & Dmitry Kramkov & Walter Schachermayer, 2005. "On Utility-Based Pricing Of Contingent Claims In Incomplete Markets," Mathematical Finance, Blackwell Publishing, vol. 15(2), pages 203-212. [Downloadable!] (restricted)
Hakansson, Nils H., 1969. "Risk Disposition and the Separation Property in Portfolio Selection," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 4(04), pages 401-416, December. [Downloadable!]
(**), Hui Wang & Jaksa Cvitanic & (*), Walter Schachermayer, 2001. "Utility maximization in incomplete markets with random endowment," Finance and Stochastics, Springer, vol. 5(2), pages 259-272. [Downloadable!] (restricted)

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This page was last updated on 2009-11-25.

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