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In which financial markets do mutual fund theorems hold true?

Author

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  • Walter Schachermayer
  • Mihai Sîrbu
  • Erik Taflin

Abstract

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Suggested Citation

  • 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.
  • Handle: RePEc:spr:finsto:v:13:y:2009:i:1:p:49-77
    DOI: 10.1007/s00780-008-0072-x
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    References listed on IDEAS

    as
    1. Martin Kulldorff & Ajay Khanna, 1999. "A generalization of the mutual fund theorem," Finance and Stochastics, Springer, vol. 3(2), pages 167-185.
    2. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
    3. 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.
    4. 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, April.
    5. Hakansson, Nils H., 1969. "Risk Disposition and the Separation Property in Portfolio Selectionâ€," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 4(4), pages 401-416, December.
    6. 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.
    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.
    Full references (including those not matched with items on IDEAS)

    Citations

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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.
    2. Nikolai Dokuchaev, 2014. "Mutual Fund Theorem for continuous time markets with random coefficients," Theory and Decision, Springer, vol. 76(2), pages 179-199, February.
    3. Framstad, N.C., 2011. "Portfolio separation properties of the skew-elliptical distributions, with generalizations," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1862-1866.
    4. Toru Igarashi, 2019. "An Analytic Market Condition for Mutual Fund Separation: Demand for the Non-Sharpe Ratio Maximizing Portfolio," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(2), pages 169-185, June.

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    More about this item

    Keywords

    Mutual fund; Numéraire portfolio; European option; Replication; Completeness; 91B16; 91B28; 91B70; G11; C61;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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