The paper studies problem of continuous time optimal portfolio selection for a diffusion model of incomplete market . It is shown that, under some mild conditions, the suboptimal strategies for investors with different performance criterions can be constructed using a limited number of fixed processes (mutual funds), for a market with a larger number of available risky stocks. In other words, a  relaxed version of  Mutual Fund Theorem is obtained .
The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model . It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can be constructed using a limited number of fixed processes (mutual funds), for a market with a larger number of available risky stocks. In other words, a dimension reduction is achieved via a relaxed version of the Mutual Fund Theorem .
R
diffusion model of incomplete market
incom- plete market diffusion model
R
the suboptimal
near optimal
R
criterions
criteria
A
dimension reduction is achieved via a
A
the
D
is obtained