Gerber, Anke; Hens, Thorsten; Woehrmann, Peter - In: Journal of Financial and Quantitative Analysis 45 (2010) 02, pp. 369-400
In a dynamic general equilibrium model, we derive conditions for a mutual fund separation property by which the savings decision is separated from the asset allocation decision. With logarithmic utility functions, this separation holds for any heterogeneity in discount factors, while the...