Frictionless Asset Allocation with Elliptically Symmetric Distributions of Returns

Frictionless asset allocation is examined for constant absolute risk aversion. The optimal portfolio for a general class of multivariate probability distributions with elliptical symmetry is presented. The optimal portfolio under these conditions is given by the portfolio obtained by mean-variance analysis scaled by a distribution dependent function. This result then specialized to the case of a multivariate extension of the generalized error distribution to allow the general properties of the solution to be exhibited