Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/55243 
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dc.contributor.authorBreuer, Wolfgangen
dc.contributor.authorGürtler, Marcen
dc.date.accessioned2012-02-06-
dc.date.accessioned2012-02-10T15:38:50Z-
dc.date.available2012-02-10T15:38:50Z-
dc.date.issued2004-
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
dc.language.isogeren
dc.publisher|aTechnische Universität Braunschweig, Institut für Finanzwirtschaft |cBraunschweigen
dc.relation.ispartofseries|aWorking Paper Series |xFW11V3en
dc.subject.jelG11en
dc.subject.ddc330en
dc.subject.keywordtwo-fund separationen
dc.subject.keywordHARA utilityen
dc.subject.keywordpositive marginal utilityen
dc.subject.keywordborrowing restrictionsen
dc.subject.keywordCapital Asset Pricing Model, bias in beta, performance evaluationen
dc.titleTwo-Fund separation and positive marginal utility-
dc.typeWorking Paperen
dc.identifier.ppn684775859en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:tbsifw:FW11V3en

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