Mutual Funds Theorem for Continuous Time Markets
24 Pages Posted: 18 Apr 2010 Last revised: 14 Apr 2014
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: Suggested Citation
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