Matches in SemOpenAlex for { <https://semopenalex.org/work/W2949074676> ?p ?o ?g. }
Showing items 1 to 85 of
85
with 100 items per page.
- W2949074676 abstract "The Mutual Fund Theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T, where agents maximize expected utility of terminal wealth. It is established that: 1) Let N be the wealth process of the num'eraire portfolio (i.e. the optimal portfolio for the log utility). If any path-independent option with maturity T written on the num'eraire portfolio can be replicated by trading emph{only} in N, then the (MFT) holds true for general utility functions, and the num'eraire portfolio may serve as mutual fund. This generalizes Merton's classical result on Black-Scholes markets. Conversely, under a supplementary weak completeness assumption, we show that the validity of the (MFT) for general utility functions implies the same replicability property for options on the num'eraire portfolio described above. 2) If for a given class of utility functions (i.e. investors) the (MFT) holds true in all complete Brownian financial markets S, then all investors use the same utility function U, which must be of HARA type. This is a result in the spirit of the classical work by Cass and Stiglitz." @default.
- W2949074676 created "2019-06-27" @default.
- W2949074676 creator A5005194674 @default.
- W2949074676 creator A5006788761 @default.
- W2949074676 creator A5017821913 @default.
- W2949074676 date "2007-10-10" @default.
- W2949074676 modified "2023-10-18" @default.
- W2949074676 title "In which Financial Markets do Mutual Fund Theorems hold true" @default.
- W2949074676 cites W1975954757 @default.
- W2949074676 cites W1996450459 @default.
- W2949074676 cites W2005158847 @default.
- W2949074676 cites W2022958749 @default.
- W2949074676 cites W2062297579 @default.
- W2949074676 cites W2069319244 @default.
- W2949074676 cites W2071606512 @default.
- W2949074676 cites W2076458153 @default.
- W2949074676 cites W2127141507 @default.
- W2949074676 cites W2134807435 @default.
- W2949074676 cites W2140848504 @default.
- W2949074676 cites W2260308503 @default.
- W2949074676 cites W2795592297 @default.
- W2949074676 cites W3023688799 @default.
- W2949074676 cites W3120164020 @default.
- W2949074676 cites W3122216790 @default.
- W2949074676 hasPublicationYear "2007" @default.
- W2949074676 type Work @default.
- W2949074676 sameAs 2949074676 @default.
- W2949074676 citedByCount "0" @default.
- W2949074676 crossrefType "posted-content" @default.
- W2949074676 hasAuthorship W2949074676A5005194674 @default.
- W2949074676 hasAuthorship W2949074676A5006788761 @default.
- W2949074676 hasAuthorship W2949074676A5017821913 @default.
- W2949074676 hasConcept C10138342 @default.
- W2949074676 hasConcept C114866470 @default.
- W2949074676 hasConcept C144237770 @default.
- W2949074676 hasConcept C160471959 @default.
- W2949074676 hasConcept C162324750 @default.
- W2949074676 hasConcept C19244329 @default.
- W2949074676 hasConcept C202655437 @default.
- W2949074676 hasConcept C21099588 @default.
- W2949074676 hasConcept C2777064782 @default.
- W2949074676 hasConcept C2780821815 @default.
- W2949074676 hasConcept C28826006 @default.
- W2949074676 hasConcept C33923547 @default.
- W2949074676 hasConcept C39943821 @default.
- W2949074676 hasConceptScore W2949074676C10138342 @default.
- W2949074676 hasConceptScore W2949074676C114866470 @default.
- W2949074676 hasConceptScore W2949074676C144237770 @default.
- W2949074676 hasConceptScore W2949074676C160471959 @default.
- W2949074676 hasConceptScore W2949074676C162324750 @default.
- W2949074676 hasConceptScore W2949074676C19244329 @default.
- W2949074676 hasConceptScore W2949074676C202655437 @default.
- W2949074676 hasConceptScore W2949074676C21099588 @default.
- W2949074676 hasConceptScore W2949074676C2777064782 @default.
- W2949074676 hasConceptScore W2949074676C2780821815 @default.
- W2949074676 hasConceptScore W2949074676C28826006 @default.
- W2949074676 hasConceptScore W2949074676C33923547 @default.
- W2949074676 hasConceptScore W2949074676C39943821 @default.
- W2949074676 hasLocation W29490746761 @default.
- W2949074676 hasOpenAccess W2949074676 @default.
- W2949074676 hasPrimaryLocation W29490746761 @default.
- W2949074676 hasRelatedWork W1496953761 @default.
- W2949074676 hasRelatedWork W1524769643 @default.
- W2949074676 hasRelatedWork W175685399 @default.
- W2949074676 hasRelatedWork W1830142338 @default.
- W2949074676 hasRelatedWork W1906026670 @default.
- W2949074676 hasRelatedWork W1977398068 @default.
- W2949074676 hasRelatedWork W2078784296 @default.
- W2949074676 hasRelatedWork W2094108073 @default.
- W2949074676 hasRelatedWork W2137400145 @default.
- W2949074676 hasRelatedWork W2175526848 @default.
- W2949074676 hasRelatedWork W2276459158 @default.
- W2949074676 hasRelatedWork W2338091217 @default.
- W2949074676 hasRelatedWork W2482435065 @default.
- W2949074676 hasRelatedWork W3121201125 @default.
- W2949074676 hasRelatedWork W3122084250 @default.
- W2949074676 hasRelatedWork W3126133943 @default.
- W2949074676 hasRelatedWork W3134629657 @default.
- W2949074676 hasRelatedWork W3140421284 @default.
- W2949074676 hasRelatedWork W3151308528 @default.
- W2949074676 hasRelatedWork W3168222755 @default.
- W2949074676 isParatext "false" @default.
- W2949074676 isRetracted "false" @default.
- W2949074676 magId "2949074676" @default.
- W2949074676 workType "article" @default.