Understanding the Mutual Fund Theorem The mutual fund theorem is the use of mutual fund investments in the building of a comprehensive portfolio. The mutual fund theorem was introduced byJames Tobin, who worked alongsideHarry Markowitzfrom 1955 to 1956 at the Cowles Foundation at Yale University. T...
Breuer and G眉rtler (2006) based their analysis on the application of the well-known two-fund separation theorem firstly described by Tobin (1958). With this background, they determined optimized performance measures based on the optimal combination of a fund and a reference portfolio of direct ...
It is shown that the class of elliptical distributions extend the Tobin [14] separation theorem, Bawa's [2] rules of ordering uncertain prospects, Ross's [12] mutual fund separation theorems, and the results of the CAPM to non-normal dis... J Owen,R Rabinovitch - 《Journal of Finance》...