dc.contributor.author Dybvig, Philip dc.contributor.author Liu, Fang Ph.D dc.date.accessioned 2020-09-11T13:49:19Z dc.date.available 2020-09-11T13:49:19Z dc.date.issued 2014-09-01 dc.identifier.other 7519142 dc.identifier.uri https://hdl.handle.net/1813/71339 dc.description.abstract We extend Cass and Stiglitz’s analysis of preference-based mutual fund separation. We show that high degrees of fund separation can be constructed by adding inverse marginal utility functions exhibiting lower degrees of separation. However, this method does not allow us to find all utility functions satisfying fund separation. In general, we do not know how to write the primal utility functions in these models in closed form, but we can do so in the special case of SAHARA utility defined by Chen et al. and for a new class of GOBI preferences introduced here. We show that there is money separation (in which the riskless asset can be one of the funds) if and only if there is a fund (which may not be the riskless asset) with a constant allocation as wealth changes. dc.language.iso en_US dc.rights Required Publisher Statement: Copyright held by the authors. dc.subject mutual funds dc.subject portfolio selection dc.subject distribution perspective dc.subject preference perspective dc.title On Investor Preferences and Mutual Fund Separation dc.type preprint dc.description.legacydownloads Fang4_REV_On_investor_preference.pdf: 776 downloads, before Aug. 1, 2020. local.authorAffiliation Dybvig, Philip: Washington University in St. Louis local.authorAffiliation Liu, Fang Ph.D: fl357@cornell.edu Cornell University School of Hotel Administration
﻿