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Optimum Demand and Mutual Fund Theorem

In: Advanced Finance Theories

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  • Ser-Huang Poon

Abstract

This chapter is based on Merton’s (1990) Chapter 5. It is an extension of the previous chapter on “Consumption and Portfolio Selection” to the multi-assets context with a general price process. This chapter is no doubt the most important cornerstone in asset pricing theories. It identifies the optimum portfolios with and without the risk-free interest rate, which is the foundation of the mutual fund and separation theorems, and later become the beta factors models…

Suggested Citation

  • Ser-Huang Poon, 2018. "Optimum Demand and Mutual Fund Theorem," World Scientific Book Chapters, in: Advanced Finance Theories, chapter 5, pages 65-82, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814460385_0005
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    More about this item

    Keywords

    Intertemporal Portfolio Selection; Capital Structure; General Equilibrium; Spanning; Mutual Fund Theorem; Jumps; Incomplete Markets;
    All these keywords.

    JEL classification:

    • G30 - Financial Economics - - Corporate Finance and Governance - - - General

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