A generalization of the mutual fund theorem

Martin Kulldorff and Ajay Khanna
Additional contact information
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

Finance and Stochastics, 1999, vol. 3, issue 2, 167-185

Abstract: 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.

Keywords: Portfolio selection; continuous time; separation theorem; reduction method; incomplete markets (search for similar items in EconPapers)
Date: 1999-01-29
Note: received: September 1997; final version received: April 1998
References: Add references at CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://link.springer.de/link/service/journals/00780/papers/9003002/90030167.pdf (application/pdf)
Access to the full text of the articles in this series is restricted

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:3:y:1999:i:2:p:167-185

Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2

Access Statistics for this article

Finance and Stochastics is currently edited by M. Schweizer

More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().