摘要翻译：
研究了连续时间不完全市场模型的最优投资问题，其中无风险率、升值率和波动率均为随机；假定它们独立于驱动布朗运动，并且假定它们是当前可观测的。结果表明，对于一般公用事业，共同基金定理的某些弱化形式对该市场成立；更确切地说，在不依赖于不同效用所描述的风险偏好的风险资产分布的情况下，期望效用的上确界可以在一系列策略上实现。
---
英文标题：
《Mutual Fund Theorem for continuous time markets with random coefficients》
---
作者：
Nikolai Dokuchaev
---
最新提交年份：
2009
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--

---
英文摘要：
  We study the optimal investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are assumed to be independent from the driving Brownian motion, and they are supposed to be currently observable. It is shown that some weakened version of Mutual Fund Theorem holds for this market for general class of utilities; more precisely, it is shown that the supremum of expected utilities can be achieved on a sequence of strategies with a certain distribution of risky assets that does not depend on risk preferences described by different utilities.
---
PDF链接：
https://arxiv.org/pdf/0911.3194