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In which financial markets do mutual fund theorems hold true?

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Author Info

  • Walter Schachermayer

    ()

  • Mihai Sîrbu

    ()

  • Erik Taflin

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00780-008-0072-x
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    Bibliographic Info

    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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    Web page: http://www.springerlink.com/content/101164/

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    Related research

    Keywords: Mutual fund; Numéraire portfolio; European option; Replication; Completeness; 91B16; 91B28; 91B70; G11; C61;

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    References

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    1. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
    2. 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.
    3. Martin Kulldorff & Ajay Khanna, 1999. "A generalization of the mutual fund theorem," Finance and Stochastics, Springer, vol. 3(2), pages 167-185.
    4. 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.
    5. Julien Hugonnier & Dmitry Kramkov & Walter Schachermayer, 2005. "On Utility-Based Pricing Of Contingent Claims In Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 15(2), pages 203-212.
    6. 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.
    7. (**), 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.
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    Cited by:
    1. Nikolai Dokuchaev, 2009. "Mutual Fund Theorem for continuous time markets with random coefficients," Papers 0911.3194, arXiv.org.

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