Portfolio separation with α-symmetric and psuedo-isotropic distributions

Nils Chr. Framstad

The pseudo-isotropic multivariate distributions are shown to satisfy Ross' stochastic dominance criterion for two-fund monetary separation. The classical case of separation under abence of risk-free investment opportunity, admits a few particular generalizations to k-fund separation for (1+1/k)-norm symmetric variables if k is odd. -- Portfolio separation ; mutual fund theorem ; stochastic dominance ; pseudo-isotropic distributions ; K-isotropic distributions

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Year of publication:	2011 ; version: February 27, 2011
Authors:	Framstad, Nils Chr.
Publisher:	Oslo : Dep. of Economics, Univ. of Oslo
Subject:	Investmentfonds \| Investment Fund \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory

Extent:	Online-Ressource (PDF-Datei: 7 S., 446,66 KB)
Series:	Memorandum / Department of Economics, University of Oslo. - Oslo : Department of Economics, University of Oslo, ISSN 0809-8786, ZDB-ID 2532549-8. - Vol. 2011,12
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat reader
Other identifiers:	hdl:10419/47290 [Handle]
Classification:	G11 - Portfolio Choice ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; D53 - Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008932977