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Mutual Fund Separation in Financial Theory - The Separating Distributions

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Stephen A. Ross
Abstract

This paper finds necessary and sufficient conditions on the stochastic structure of asset returns for portfolio choice to be equivalent to choice among a limited number of mutual funds of assets, independent of investors’ preferences. This type of separation result is central to much of modern financial theory and, as a consequence, the distributions which satisfy these conditions, the separating distributions, from the underlying basis for much of this theory.

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Paper provided by Wharton School Rodney L. White Center for Financial Research in its series Rodney L. White Center for Financial Research Working Papers with number 1-76.

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Handle: RePEc:fth:pennfi:1-76

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  1. Jose Olmo, 2007. "An Asset Pricing Model for Mean-Variance-Downside-Risk Averse Investors," City University Economics Discussion Papers 07/01, Department of Economics, City University, London. [Downloadable!]
  2. Jesus Gonzalo & Jose Olmo, 2007. "The Impact of Heavy Tails and Comovements in Downside-Risk Diversification," City University Economics Discussion Papers 07/02, Department of Economics, City University, London. [Downloadable!]
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This page was last updated on 2009-11-20.

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