Mutual Fund Separation in Financial Theory - The Separating Distributions

Stephen Ross

Rodney L. White Center for Financial Research Working Papers from Wharton School Rodney L. White Center for Financial Research

Abstract: 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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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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