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Mutual Fund Separation in Financial Theory - The Separating Distributions
Ross, Stephen A. - Rodney L. White Center for Financial Research, Wharton …
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 much of modern...
Persistent link: https://www.econbiz.de/10005657001
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Mutual Fund Separation in Financial Theory - The Separating Distributions
Ross, Stephen A. - Rodney L. White Center for Financial Research, Wharton …
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 much of modern...
Persistent link: https://www.econbiz.de/10005657086
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Options and Efficiency
Ross, Stephen A. - Rodney L. White Center for Financial Research, Wharton …
Persistent link: https://www.econbiz.de/10005657114
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Valuing corporate securities: some effects of bond indenture provisions
Black, Fischer; Cox, John C. - In: The journal of finance : the journal of the American … 31 (1976) 2, pp. 351-367
Persistent link: https://www.econbiz.de/10003494366
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Duration and the measurement of basis risk
Cox, John C. - In: The journal of business : B 52 (1979) 1, pp. 51-61
Persistent link: https://www.econbiz.de/10002034155
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A survey of alternative option-pricing models
Cox, John C.; Rubinstein, Mark - In: Option pricing : theory and applications, (pp. 3-33). 1983
Persistent link: https://www.econbiz.de/10002034212
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On dynamic investment strategies
Cox, John Carrington; Leland, Hayne Ellis - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1859-1880
Persistent link: https://www.econbiz.de/10001508778
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A continuous-time portfolio turnpike theorem
Cox, John Carrington - In: Journal of economic dynamics & control 16 (1992) 3, pp. 491-507
Persistent link: https://www.econbiz.de/10001130455
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Optimal consumption and portfolio policies when asset prices follow a diffusion process
Cox, John Carrington - In: Journal of economic theory 49 (1989) 1, pp. 33-83
Persistent link: https://www.econbiz.de/10001075700
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[Rezension von: Cox, John C., Option markets]
Leland, Hayne Ellis - In: Journal of economic literature 24 (1986) 4, pp. 1822-1824
Persistent link: https://www.econbiz.de/10001341858