This research studies the role of multivariate distribution structures on random asset returns in determining the optimal allocation vector for an expected utility maximizer. All our conclusions pertain for the set of risk averters. By carefully disturbing symmetry in the distribution of the,...

We considered the ordered components, , of a multivariate random variable, Y, with covariance matrix [Sigma]11 and the vector, , of concomitantly or induced ordered components of a secondary random vector, Z, with covariance matrix [Sigma]22. Assuming that [Sigma]11, [Sigma]22 and the covariance...