Talk:Mutual fund separation theorem
Add topicLatest comment: 13 years ago by Duoduoduo in topic The “Portfolio separation without mean-variance analysis” section needs to be rewritten for literature
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The “Portfolio separation without mean-variance analysis” section needs to be rewritten for literature
[edit]The literature references for this section give an inaccurate account of the development of the literature and theory; the references in dynamic models are predated by up to 40 years plus.
- Jan Mossin: Optimal Multiperiod Portfolio Policies (J. Business, 1968) establishes separation for HARA utility in discrete time. (This is before Cass–Stiglitz, but the latter also gives necessary conditions.)
- Knut K. Aase: Optimum portfolio diversification in a general continuous-time model (Stochastic Processes and their Applications, 1984) gives a similar result in continuous time under geometric processes. (I'm not going to use the Wikipedia article to plug my own stuff.)
I propose to rewrite the section reflecting the development. I would also reference Schachermayer et al: In which financial markets do mutual fund theorems hold true? (Finance Stoch., 2009) for its generality in dynamics.
Furthermore, should turnpike portfolios be mentioned here? Hakansson: Convergence to isoelastic utility and policy in multiperiod portfolio choice (J. Financial Economics, 1974).
Nils Framstad (talk) 19:23, 8 February 2013 (UTC)
- Yes, please go ahead and work on it! Duoduoduo (talk) 00:38, 28 February 2013 (UTC)