Abstract
This is a review paper, concerning some extensions of the celebrated Merton’s mutual fund theorem in infinite-dimensional financial models, in particular, the so-called Large Financial Markets (where a sequence of assets is taken into account) and Bond Markets Models (where there is a continuum of assets).
In order to obtain these results, an infinite-dimensional stochastic integration theory is essential: the paper illustrates briefly a new theory introduced to this extent by M. De Donno and the author.
This work is the result of discussions and collaboration with Marzia De Donno.
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Pratelli, M. (2007). Generalizations of Merton’s Mutual Fund Theorem in Infinite-Dimensional Financial Models. In: Dalang, R.C., Russo, F., Dozzi, M. (eds) Seminar on Stochastic Analysis, Random Fields and Applications V. Progress in Probability, vol 59. Birkhäuser Basel. https://doi.org/10.1007/978-3-7643-8458-6_28
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DOI: https://doi.org/10.1007/978-3-7643-8458-6_28
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