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https://hdl.handle.net/10419/55243

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Two-fund separation and positive marginal utility

[working paper]

Breuer, Wolfgang
Gürtler, Marc

Corporate Editor
Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft

Abstract

"The requirement of positive marginal utility only makes it possible to derive a restricted twofund separation theorem for portfolio selection problems replacing the original separation theorem of Cass and Stiglitz (1970). We use our findings for a re-examination of the bias-in-beta problem in mutua... view more

"The requirement of positive marginal utility only makes it possible to derive a restricted twofund separation theorem for portfolio selection problems replacing the original separation theorem of Cass and Stiglitz (1970). We use our findings for a re-examination of the bias-in-beta problem in mutual funds performance evaluation and of the relevance of the standard CAPM without borrowing restrictions. We also present empirical evidence for the only limited validity of the separation theorem when explicitly recognizing positive marginal utility. Moreover, quadratic utility functions are not apt to approximate the admissible range of risk preferences in the case of higher-order utility functions." (author's abstract)... view less

Keywords
capital; price; costs; utility; research; empirical research; performance assessment; investment; portfolio management

Classification
Economic Policy

Document language
English

Publication Year
2004

City
Braunschweig

Page/Pages
36 p.

Series
IF Working Paper Series, FW11V3

Handle
https://hdl.handle.net/10419/55243

Status
reviewed

Licence
Deposit Licence - No Redistribution, No Modifications

Data providerThis metadata entry was indexed by the Special Subject Collection Social Sciences, USB Cologne


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Home  |  Legal notices  |  Operational concept  |  Privacy policy
© 2007 - 2025 Social Science Open Access Repository (SSOAR).
Based on DSpace, Copyright (c) 2002-2022, DuraSpace. All rights reserved.