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A generalization of the mutual fund theorem

  • Martin Kulldorff

    (Department of Statistics, Uppsala University, SE-75120 Uppsala, Sweden Manuscript)

  • Ajay Khanna

    (Stern School of Business Administration, New York University, New York, NY 10012 USA)

Registered author(s):

    A 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.

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    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 3 (1999)
    Issue (Month): 2 ()
    Pages: 167-185

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    Handle: RePEc:spr:finsto:v:3:y:1999:i:2:p:167-185
    Note: received: September 1997; final version received: April 1998
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