Mutual fund theorem for continuous time markets with random coefficients
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 show...
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| Format: | Journal Article |
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Springer
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/17860 |
| _version_ | 1848749580323127296 |
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| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T07:23:12Z |
| format | Journal Article |
| id | curtin-20.500.11937-17860 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:23:12Z |
| publishDate | 2013 |
| publisher | Springer |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-178602019-02-19T05:34:59Z Mutual fund theorem for continuous time markets with random coefficients Dokuchaev, Nikolai continuous time market models Mutual Fund Theorem optimal portfolio 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. 2013 Journal Article http://hdl.handle.net/20.500.11937/17860 10.1007/s11238-013-9368-1 Springer fulltext |
| spellingShingle | continuous time market models Mutual Fund Theorem optimal portfolio Dokuchaev, Nikolai Mutual fund theorem for continuous time markets with random coefficients |
| title | Mutual fund theorem for continuous time markets with random coefficients |
| title_full | Mutual fund theorem for continuous time markets with random coefficients |
| title_fullStr | Mutual fund theorem for continuous time markets with random coefficients |
| title_full_unstemmed | Mutual fund theorem for continuous time markets with random coefficients |
| title_short | Mutual fund theorem for continuous time markets with random coefficients |
| title_sort | mutual fund theorem for continuous time markets with random coefficients |
| topic | continuous time market models Mutual Fund Theorem optimal portfolio |
| url | http://hdl.handle.net/20.500.11937/17860 |