Schachermayer, Walter; Sirbu, Mihai; Taflin, Erik - arXiv.org - 2007
The Mutual Fund Theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T, where agents maximize expected utility of terminal wealth. It is established that: 1) Let N be the wealth process of the num\'eraire portfolio (i.e. the optimal portfolio for...