An Axiomatic Treatment of Enlarged Separation Portfolios and Treasurer’s Portfolios (with Applications to Financial Synthetics)
University of CEMA Working Paper Series No, 398
28 Pages Posted: 17 Jul 2009
Date Written: June 1, 2009
Abstract
Expanded separation portfolios ( Se ) and Treasurer’s portfolios T( Se ) are a sect of themselves. They arise out of risk-free assets and risky portfolios like other mutual funds. But their distinctive features set them apart from the common lot. This paper puts forth, firstly, a down-to-earth axiomatic that allows a complete formalization of the class of Se portfolios. Secondly, simple separation portfolios are featured and their differences with ( Se ) are highlighted. Next, the category of T( Se ) will be defined and their main properties brought to light. Last of all, there will be an expansion on the building of financial synthetics by means of enlarged separation portfolios.
Keywords: enlarged separation portfolios, mutual funds, separation portfolios
JEL Classification: G10, G11, G24
Suggested Citation: Suggested Citation
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