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Mutual Fund Separation in Financial Theory - The Separating Distributions

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  • Stephen A. Ross
Abstract
This paper finds necessary and sufficient conditions on the stochastic structure of asset returns for portfolio choice to be equivalent to choice among a limited number of mutual funds of assets, independent of investors’ preferences. This type of separation result is central to much of modern financial theory and, as a consequence, the distributions which satisfy these conditions, the separating distributions, from the underlying basis for much of this theory.

Suggested Citation

  • Stephen A. Ross, "undated". "Mutual Fund Separation in Financial Theory - The Separating Distributions," Rodney L. White Center for Financial Research Working Papers 01-76, Wharton School Rodney L. White Center for Financial Research.
    • Handle: RePEc:fth:pennfi:01-76
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    JEL classification:

    • G00 - Financial Economics - - General - - - General

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