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

Apreda, Rodolfo, An Axiomatic Treatment of Enlarged Separation Portfolios and Treasurer’s Portfolios (with Applications to Financial Synthetics) (June 1, 2009). University of CEMA Working Paper Series No, 398 , Available at SSRN: https://ssrn.com/abstract=1435509 or http://dx.doi.org/10.2139/ssrn.1435509

Rodolfo Apreda (Contact Author)

University of CEMA ( email )

Department of Finance Room 612
Buenos Aires, C1054AAP
Argentina
5411 6314 3000 (Phone)
5411 4803 0429 (Fax)