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

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Year of publication:	2008
Authors:	Giller, Graham L.
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Portfolio-Management \| Portfolio selection \| Kapitaleinkommen \| Capital income \| Statistische Verteilung \| Statistical distribution

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