A generalization of the mutual fund theorem
AbstractA generalization of the continuous time mutual fund theorem is given, with no assumptions made on the investors utility functions for consumption and final wealth, except that they are time-additive and non-decreasing. The extension is due to a new mathematical approach, using no more than simple properties of diffusion processes and standard linear algebra. The results are given for complete as well as certain incomplete markets. Moreover, optimal investment strategies that are known only for complete markets with a single risky asset, are automatically extended to complete and incomplete markets with multiple risky assets. An example is given.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 3 (1999)
Issue (Month): 2 ()
Note: received: September 1997; final version received: April 1998
Contact details of provider:
Web page: http://www.springerlink.com/content/101164/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- N. Dokuchaev & U. Haussmann, 2001.
"Optimal portfolio selection and compression in an incomplete market,"
Taylor & Francis Journals, vol. 1(3), pages 336-345.
- Nikolai Dokuchaev & Ulrich Haussmann, 2002. "Optimal portfolio selection and compression in an incomplete market," Papers math/0207260, arXiv.org.
- Nikolai Dokuchaev, 2009. "Mutual Fund Theorem for continuous time markets with random coefficients," Papers 0911.3194, arXiv.org.
- Eckhard Platen, 2005.
"On The Role Of The Growth Optimal Portfolio In Finance,"
Australian Economic Papers,
Wiley Blackwell, vol. 44(4), pages 365-388, December.
- Eckhard Platen, 2005. "On the Role of the Growth Optimal Portfolio in Finance," Research Paper Series 144, Quantitative Finance Research Centre, University of Technology, Sydney.
- Morten Christensen & Eckhard Platen, 2005.
"Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps,"
Research Paper Series
170, Quantitative Finance Research Centre, University of Technology, Sydney.
- Morten Mosegaard Christensen & Eckhard Platen, 2007. "Sharpe Ratio Maximization And Expected Utility When Asset Prices Have Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(08), pages 1339-1364.
- Bayraktar, Erhan & Young, Virginia R., 2008.
"Mutual fund theorems when minimizing the probability of lifetime ruin,"
Finance Research Letters,
Elsevier, vol. 5(2), pages 69-78, June.
- Erhan Bayraktar & Virginia R. Young, 2007. "Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin," Papers 0705.0053, arXiv.org, revised Mar 2008.
- Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney.
- Platen, Eckhard, 2006. "Portfolio selection and asset pricing under a benchmark approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 23-29.
- Walter Schachermayer & Mihai Sîrbu & Erik Taflin, 2009. "In which financial markets do mutual fund theorems hold true?," Finance and Stochastics, Springer, vol. 13(1), pages 49-77, January.
- Framstad, N.C., 2011. "Portfolio separation properties of the skew-elliptical distributions, with generalizations," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1862-1866.
- Dokuchaev, Nikolai & Yu Zhou, Xun, 2001. "Optimal investment strategies with bounded risks, general utilities, and goal achieving," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 289-309, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).
If references are entirely missing, you can add them using this form.