Mutual Fund Separation and the Fama, French, Carhart Factors

2013 ◽  
Author(s):  
Konark Saxena
Keyword(s):  
Mutual Fund ◽  
Mutual Fund Separation

scholarly journals Dynamic General Equilibrium and T-Period Fund Separation

2010 ◽  
Vol 45 (2) ◽  
pp. 369-400 ◽  
Author(s):  
Anke Gerber ◽  
Thorsten Hens ◽  
Peter Woehrmann
Keyword(s):  
Asset Pricing ◽  
Risk Aversion ◽  
General Equilibrium ◽  
Asset Allocation ◽  
Mutual Fund ◽  
Asset Prices ◽  
Dynamic General Equilibrium ◽  
Discount Factors ◽  
Equilibrium Asset Pricing ◽  
Mutual Fund Separation

AbstractIn 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 generalization to constant relative risk aversion holds only for homogeneous discount factors but allows for any heterogeneity in endowments. The logarithmic case provides a general equilibrium foundation for the growth-optimal portfolio literature. Both cases yield equilibrium asset pricing formulas that allow for investor heterogeneity, in which the return process is endogenous and asset prices are determined by expected discounted relative dividends. Our results have simple asset pricing implications for the time series as well as the cross section of relative asset prices. It is found that on data from the Dow Jones Industrial Average, a risk aversion smaller than in the logarithmic case fits best.

scholarly journals Aggregation, efficiency and mutual fund separation in incomplete markets

1998 ◽  
Vol 11 (2) ◽  
pp. 443-455 ◽  
Author(s):  
Jérôme B. Detemple ◽  
Piero Gottardi
Keyword(s):  
Incomplete Markets ◽  
Mutual Fund ◽  
Mutual Fund Separation

scholarly journals On investor preferences and mutual fund separation

2018 ◽  
Vol 174 ◽  
pp. 224-260 ◽  
Author(s):  
Philip Dybvig ◽  
Fang Liu
Keyword(s):  
Mutual Fund ◽  
Mutual Fund Separation

The Study of the Determinants Affecting the Performance of Mutual Funds in Indiaequity Mutual Fund

2019 ◽  
Vol 54 (5) ◽  
pp. 58
Author(s):  
Preeta Sinha ◽  
Tamal Taru Roy ◽  
Debi Prasad Lahiri
Keyword(s):  
Mutual Funds ◽  
Mutual Fund

An Emprical Study of Performance Evaluation of Selected Elss Mutual Fund Schemes

2012 ◽  
Vol 3 (7) ◽  
pp. 67-69
Author(s):  
J. Lilly J. Lilly ◽  
◽  
Dr. D.Anusuya Dr. D.Anusuya
Keyword(s):  
Performance Evaluation ◽  
Mutual Fund
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