On investor preferences and mutual fund separation

Journal of Economic Theory - Tập 174 - Trang 224-260 - 2018
Philip Dybvig1, Fang Liu2
1Olin Business School, Washington University in St. Louis, Campus Box 1133, One Brookings Drive, St. Louis, MO, 63130, United States
2Cornell SC Johnson College of Business, 435C Statler Hall, Ithaca, NY 14853, United States

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