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Mutual fund separation in financial theory—The separating distributions
Authors:Stephen A Ross
Affiliation:School of Organization and Management and Department of Economics, Yale University, New Haven, Connecticut 06520 USA
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 modern financial theory and the distributions which satisfy these conditions, the separating distributions, form the underlying basis for much of this theory.
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