Portfolio separation with α-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
Authors:	Framstad, Nils Chr.
Publisher:	Oslo : University of Oslo, Department of Economics
Subject:	Portfolio separation \| mutual fund theorem \| stochastic dominance \| pseudo-isotropic distributions \| K-isotropic distributions

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Series:	Memorandum ; 2011,12
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	655556648 [GVK] 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:	EconStor

Persistent link: https://www.econbiz.de/10010285570