Download full text
(external source)
Citation Suggestion
Please use the following Persistent Identifier (PID) to cite this document:
https://hdl.handle.net/10419/55243
Exports for your reference manager
Two-fund separation and positive marginal utility
[working paper]
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