On investor preferences and mutual fund separation
Tài liệu tham khảo
Bawa, 1977, Capital market equilibrium in a mean-lower partial moment framework, J. Financ. Econ., 5, 189, 10.1016/0304-405X(77)90017-4
Black, 1972, Capital market equilibrium with restricted borrowing, J. Bus., 45, 444, 10.1086/295472
Bôcher, 1900, The theory of linear dependence, Ann. Math., 2, 81, 10.2307/2007186
Cass, 1970, The structure of investor preferences and asset returns, and separability in portfolio allocation: a contribution to the pure theory of mutual funds, J. Econ. Theory, 2, 122, 10.1016/0022-0531(70)90002-5
Chamberlain, 1983, A characterization of the distributions that imply mean-variance utility functions, J. Econ. Theory, 29, 185, 10.1016/0022-0531(83)90129-1
Chen, 2011, Modeling non-monotone risk aversion using SAHARA utility functions, J. Econ. Theory, 146, 2075, 10.1016/j.jet.2011.06.011
Dybvig, 1982, Portfolio efficient sets, Econometrica, 50, 1525, 10.2307/1913394
Epstein, 1989, Substitution, risk aversion, and the temporal behavior of consumption and asset returns: a theoretical framework, Econometrica, 57, 937, 10.2307/1913778
Hakansson, 1969, Risk disposition and the separation property in portfolio selection, J. Financ. Quant. Anal., 4, 401, 10.2307/2330057
Hoene-Wronski, 1812
Kadan, 2016, Generalized systematic risk, Am. Econ. J. Microecon., 8, 86, 10.1257/mic.20140244
Kreps, 1978, Temporal resolution of uncertainty and dynamic choice theory, Econometrica, 46, 185, 10.2307/1913656
Machina, 1982, “Expected utility” analysis without the independence axiom, Econometrica, 50, 277, 10.2307/1912631
Markowitz, 1952, Portfolio selection, J. Finance, 7, 77
Mossin, 1968, Optimal multiperiod portfolio policies, J. Bus., 41, 215, 10.1086/295078
Muir, 1882
Pye, 1967, Portfolio selection and security prices, Rev. Econ. Stat., 49, 111, 10.2307/1937889
Ross, 1976, The arbitrage theory of capital asset pricing, J. Econ. Theory, 13, 341, 10.1016/0022-0531(76)90046-6
Ross, 1977, Return, risk, and arbitrage, 189
Ross, 1978, Mutual fund separation in financial theory: the separating distributions, J. Econ. Theory, 17, 254, 10.1016/0022-0531(78)90073-X
Samuelson, 1967, General proof that diversification pays, J. Financ. Quant. Anal., 2, 1, 10.2307/2329779
Tobin, 1958, Liquidity preference as behavior towards risk, Rev. Econ. Stud., 25, 63, 10.2307/2296205