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dc.contributor.authorDokuchaev, Nikolai
dc.date.accessioned2017-01-30T12:04:34Z
dc.date.available2017-01-30T12:04:34Z
dc.date.created2013-09-17T20:00:39Z
dc.date.issued2013
dc.identifier.citationDokuchaev, Nikolai. 2013. Mutual Fund Theorem for continuous time markets with random coefficients. Theory and Decision. 76 (2): pp. 179-199.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/17860
dc.identifier.doi10.1007/s11238-013-9368-1
dc.description.abstract

The optimal investment problem is studied for acontinuous time incomplete market model. It is assumed that therisk-free rate, the appreciation rates and the volatility of thestocks are all random; they are independent from the drivingBrownian motion, and they are currently observable. It is shownthat some weakened version of Mutual Fund Theorem holds for thismarket for general class of utilities. It is shown that the supremumof expected utilities can be achieved on a sequence of strategieswith a certain distribution of risky assets that does not depend onrisk preferences described by different utilities.

dc.publisherSpringer
dc.subjectcontinuous time market models
dc.subjectMutual Fund Theorem
dc.subjectoptimal portfolio
dc.titleMutual fund theorem for continuous time markets with random coefficients
dc.typeJournal Article
dcterms.source.volume74
dcterms.source.issn00405833
dcterms.source.titleTheory and Decision
curtin.note

The final publication is available at Springer via http://doi.org/10.1007/s11238-013-9368-1.

curtin.department
curtin.accessStatusOpen access


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