Efficient Funds in a Financial Market with Options: a New Irrelevance Proposition
证明在罗斯假设下，几乎任何投资组合都是有效基金，随机选择的权重向量即可实现；放松假设时，最大效率基金在组合空间中稠密。
ABSTRACT Under the same assumptions that Ross used to assert the existence of an efficient fund (on which a spanning set of options can be written) we prove that almost any portfolio is an efficient fund. From a constructive point of view, a randomly chosen vector of portfolio weights yields an efficient fund. When the Ross assumptions are relaxed, a limited notion of efficiency‐maximal efficiency‐is the best attainable. The maximally efficient funds are also everywhere dense in the portfolio space. Some implications are discussed and illustrative examples given.