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Theory and Decision

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01-02-2014

Mutual Fund Theorem for continuous time markets with random coefficients

Author: Nikolai Dokuchaev

Published in: Theory and Decision | Issue 2/2014

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Abstract

The optimal investment problem is studied for a continuous time incomplete market model. It is assumed that the risk-free rate, the appreciation rates, and the volatility of the stocks are all random; they are independent from the driving Brownian motion, and they are currently observable. It is shown that some weakened version of Mutual Fund Theorem holds for this market for general class of utilities. It is shown that the supremum of expected utilities can be achieved on a sequence of strategies with a certain distribution of risky assets that does not depend on risk preferences described by different utilities.

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Title: Mutual Fund Theorem for continuous time markets with random coefficients
Author: Nikolai Dokuchaev
Publication date: 01-02-2014
Publisher: Springer US
Published in: Theory and Decision / Issue 2/2014
Print ISSN: 0040-5833
Electronic ISSN: 1573-7187
DOI: https://doi.org/10.1007/s11238-013-9368-1

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