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dc.contributor.authorBreuer, Wolfgangen_US
dc.contributor.authorGürtler, Marcen_US
dc.date.accessioned2012-02-06en_US
dc.date.accessioned2012-02-10T15:38:50Z-
dc.date.available2012-02-10T15:38:50Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/55243-
dc.description.abstractThe requirement of positive marginal utility only makes it possible to derive a restricted twofund separation theorem for portfolio selection problems replacing the original separation theorem of Cass and Stiglitz (1970). We use our findings for a re-examination of the bias-in-beta problem in mutual funds performance evaluation and of the relevance of the standard CAPM without borrowing restrictions. We also present empirical evidence for the only limited validity of the separation theorem when explicitly recognizing positive marginal utility. Moreover, quadratic utility functions are not apt to approximate the admissible range of risk preferences in the case of higher-order utility functions.en_US
dc.language.isogeren_US
dc.publisherInstitut für Finanzwirtschaft, Technische Universität Braunschweig Braunschweigen_US
dc.relation.ispartofseriesWorking papers // Institut für Finanzwirtschaft, Technische Universität Braunschweig FW11V3en_US
dc.subject.jelG11en_US
dc.subject.ddc330en_US
dc.subject.keywordtwo-fund separationen_US
dc.subject.keywordHARA utilityen_US
dc.subject.keywordpositive marginal utilityen_US
dc.subject.keywordborrowing restrictionsen_US
dc.subject.keywordCapital Asset Pricing Model, bias in beta, performance evaluationen_US
dc.titleTwo-Fund separation and positive marginal utilityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn684775859en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:tbsifw:FW11V3-
Appears in Collections:Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig

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