We develop a continuous-time Bayesian learning model to evaluate the composite skill of a mutual fund manager and a fund family. Our model estimates the composite skill of each fund as a function of its own performance and family performance. We show two competing effects of the family...

The wealth-consumption ratio of an investor, say, H must be calculated to solve models of optimal portfolios and asset prices. At this time there is no standard method to obtain H for investors with stochastic differential utility in incomplete markets. One reason is that boundary conditions of...