An axiomatic treatment of enlarged separation portfolios and treasurer’s portfolios (with applications to financial synthetics)
AbstractExpanded separation portfolios ( Se ) and Treasurer’s portfolios T( Se ) are a sect of themselves. They arise out of risk-free assets and risky portfolios like other mutual funds. But their distinctive features set them apart from the common lot. This paper puts forth, firstly, a down-to-earth axiomatic that allows a complete formalization of the class of Se portfolios. Secondly, simple separation portfolios are featured and their differences with ( Se ) are highlighted. Next, the category of T( Se ) will be defined and their main properties brought to light. Last of all, there will be an expansion on the building of financial synthetics by means of enlarged separation portfolios.
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Bibliographic InfoPaper provided by Universidad del CEMA in its series CEMA Working Papers: Serie Documentos de Trabajo. with number 398.
Length: 28 pages
Date of creation: Jun 2009
Date of revision:
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More information through EDIRC
enlarged separation portfolios; mutual funds; separation portfolios; treasurer’s portfolios; financial synthetics; portfolio management;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-07-28 (All new papers)
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.:
- Rodolfo Apreda, 2003. "Simple and enlarged separation portfolios. On their Use when Arbitraging and Synthesizing Securities," CEMA Working Papers: Serie Documentos de Trabajo. 233, Universidad del CEMA.
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