A Theorem on Portfolio Separation with General Preferences
Abstract Necessary and sufficient restrictions upon arbitrary utility functions for portfolio separation for any degree are derived for complete markets, generalizing the expected utility theorems of Cass and Stiglitz (J. Econ. Theory2 (1970), 122-160). Portfolio separation is shown to be nearly synonymous with Lewbel′s (Econometrica59 (1991), 711-730) definition of demand rank, which is characterized using standard duality methods. Journal of Economic Literature Classification Numbers: G11, C43, D11.