Mutual Fund Separation in Financial Theory - The Separating Distributions
Rodney L. White Center for Financial Research Working Papers from Wharton School Rodney L. White Center for Financial Research
This 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 much of modern financial theory and, as a consequence, the distributions which satisfy these conditions, the separating distributions, from the underlying basis for much of this theory.
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Chapter: Mutual Fund Separation in Financial Theory—The Separating Distributions (2005)
Journal Article: Mutual fund separation in financial theory--The separating distributions (1978)
Working Paper: Mutual Fund Separation in Financial Theory - The Separating Distributions
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pennfi:01-76
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