A generalization of the mutual fund theorem
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Nikolai Dokuchaev, 2009. "Mutual Fund Theorem for continuous time markets with random coefficients," Papers 0911.3194, arXiv.org.
- 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.
- 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.
- 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.
- N. Dokuchaev & U. Haussmann, 2001.
"Optimal portfolio selection and compression in an incomplete market,"
Taylor & Francis Journals, vol. 1(3), pages 336-345, March.
- Nikolai Dokuchaev & Ulrich Haussmann, 2002. "Optimal portfolio selection and compression in an incomplete market," Papers math/0207260, arXiv.org.
- Leitner Johannes, 2005. "Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 49-66, January.
- 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.
- 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.
- 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.
- Nikolai Dokuchaev, 2014. "Mutual Fund Theorem for continuous time markets with random coefficients," Theory and Decision, Springer, vol. 76(2), pages 179-199, February.
- Framstad, N.C., 2011. "Portfolio separation properties of the skew-elliptical distributions, with generalizations," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1862-1866.
- Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
More about this item
KeywordsPortfolio selection; continuous time; separation theorem; reduction method; incomplete markets;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:3:y:1999:i:2:p:167-185. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .
We have no references for this item. You can help adding them by using this form .