Mutual Funds Theorem for Continuous Time Markets

24 Pages Posted: 18 Apr 2010 Last revised: 14 Apr 2014

See all articles by Nikolai Dokuchaev

Nikolai Dokuchaev

Zhejiang University/University of Illinois at Urbana-Champaign Institute

Date Written: April 14, 2014

Abstract

For the problem of continuous time optimal portfolio selection, we found that the optimal strategies for investors with different performance criterions can be constructed using a limited number of fixed processes (mutual funds), for a incomplete market with a larger number of available risky stocks. In other words, a relaxed version of Mutual Fund Theorem is suggested.

Keywords: Optimal Portfolio, Mutual Fund Theorem, Continuous Time Market Models

JEL Classification: C61, D52, D81, D84, G11

Suggested Citation

Dokuchaev, Nikolai, Mutual Funds Theorem for Continuous Time Markets (April 14, 2014). Available at SSRN: https://ssrn.com/abstract=1591786 or http://dx.doi.org/10.2139/ssrn.1591786

Nikolai Dokuchaev (Contact Author)

Zhejiang University/University of Illinois at Urbana-Champaign Institute ( email )

Haining
Zhejiang
China

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