When do two- or three-fund separation theorems hold?
研究了当资产收益满足位置-尺度性质且投资者偏好具有法律不变性和递增性时，最优投资组合总是呈现两基金或三基金分离，统一了文献中多个特例。
We show that when asset returns satisfy a location-scale property (possibly conditionally as e.g. for a multivariate generalized hyperbolic distribution) and the investor has law-invariant and increasing preferences, the optimal investment portfolio always exhibits two-fund or three-fund separation. As a consequence, we recover many of the three-fund (and two-fund) separation theorems that have been derived in the literature under very specific assumptions on preferences or distributions. These are thus merely special cases of the general characterization result for optimal portfolios that we provide.