Portfolio Separation with -symmetric and Psuedo-isotropic Distributions

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.

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Year of publication:	2011-04-28
Authors:	Chr. Framstad, Nils
Institutions:	Økonomisk institutt, Universitetet i Oslo
Subject:	Portfolio separation \| mutual fund theorem \| stochastic dominance \| pseudo-isotropic distributions \| K-isotropic distributions

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Extent:	application/pdf
Series:	Memorandum.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Memorandum Number 12/2011 7 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D53 - Financial Markets ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009003114