Mossin's Theorem Given Random Initial Wealth

@inproceedings{Hong2011MossinsTG,
  title={Mossin's Theorem Given Random Initial Wealth},
  author={Soon Koo Hong and Keun-Ock Lew and Richard D. Macminn and Patrick L. Brockett},
  year={2011}
}
The purpose of this article is to reexamine Mossin's Theorem under random initial wealth. Conditions necessary and sufficient for Mossin's Theorem depend on the stochastic dependence between risks. The correlation coefficient, however, is not an adequate measure of stochastic dependence in the general expected-utility model, and so other notions of dependence are used to investigate Mossin's Theorem. The inadequacy of the correlation coefficient is illustrated with two counterexamples. Then… CONTINUE READING