One-fund separation in incomplete markets with two assets
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DOI: 10.1016/j.frl.2017.09.003
Abstract: This paper provides a necessary and sufficient condition for one-fund separation to occur in incomplete-market economies where finitely many agents with distinct risk aversion and heterogeneous beliefs are allowed to trade two assets. The condition… read more here.
Keywords: fund separation; one fund; two assets; fund ... See more keywords