On investor preferences and mutual fund separation

DOI10.1016/J.JET.2017.12.006zbMath1400.91176OpenAlexW3125081725MaRDI QIDQ1701032

Fang Liu, Philip H. Dybvig

Publication date: 22 February 2018

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/1813/71339

zbMATH Keywords

inverse marginal utilityinvestor preferencemoney separationmutual fund separation

Mathematics Subject Classification ID

Utility theory (91B16) Individual preferences (91B08)

Related Items (1)

An analytic market condition for mutual fund separation: demand for the non-sharpe ratio maximizing portfolio

Cites Work

• Modeling non-monotone risk aversion using SAHARA utility functions
• A characterization of the distributions that imply mean-variance utility functions
• Mutual fund separation in financial theory - the separating distributions
• "Expected Utility" Analysis without the Independence Axiom
• Portfolio Efficient Sets
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

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