Mutual Fund Separation in Financial Theory—The Separating Distributions

Stephen Ross

Chapter 10 in Theory of Valuation, 2005, pp 309-356 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis 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 modern financial theory and the distributions which satisfy these conditions, the separating distributions, form the underlying basis for much of this theory.

Keywords: Asset Pricing; Financial Theory; Valuation; Term Structure; Interest Rates; Options; Portfolios; Taxes; Transaction Costs (search for similar items in EconPapers)
Date: 2005
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Related works:
Journal Article: Mutual fund separation in financial theory--The separating distributions (1978)
Working Paper: Mutual Fund Separation in Financial Theory - The Separating Distributions
Working Paper: Mutual Fund Separation in Financial Theory - The Separating Distributions
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