Symmetry and Order in the Portfolio Allocation Problem
AbstractThis research studies the role of multivariate distribution structure on random asset returns in determining the optimal allocation vector for an expected utility maximizing agent. By carefully disturbing symmetry in the distribution of the, possibly covarying, returns, we ascertain the ordinal structure of the allocation vector. Rank order of allocations is also established when a permutation symmetric vector is mapped into the returns vector through location and scale shifts. The results are extended to pertain for partitions of the state space.
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Bibliographic InfoPaper provided by Iowa State University, Department of Economics in its series Staff General Research Papers with number 5106.
Date of creation: 01 Jun 2002
Date of revision:
Publication status: Published in Economic Theory, June 2002, vol. 19 no. 4, pp. 747-772
Contact details of provider:
Postal: Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070
Phone: +1 515.294.6741
Fax: +1 515.294.0221
Web page: http://www.econ.iastate.edu
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Other versions of this item:
- Harvey E. Lapan & David A. Hennessy, 2002. "Symmetry and order in the portfolio allocation problem," Economic Theory, Springer, vol. 19(4), pages 747-772.
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G1 - Financial Economics - - General Financial Markets
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- NEP-ALL-2002-09-28 (All new papers)
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- Hennessy, David A. & Saak, Alexander E. & Babcock, Bruce A., 2003. "Fair Value Of Whole-Farm And Crop-Specific Revenue Insurance," 2003 Annual meeting, July 27-30, Montreal, Canada 21988, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Ibragimov, Rustam & Ibragimov, Marat, 2007. "Market Demand Elasticity and Income Inequality," Scholarly Articles 2623728, Harvard University Department of Economics.
- Cheung, Ka Chun, 2006. "Optimal portfolio problem with unknown dependency structure," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 167-175, February.
- Lapan, Harvey E. & Hennessy, David A., 2006. "A note on cost arrangement and market performance in a multi-product Cournot oligopoly," International Journal of Industrial Organization, Elsevier, vol. 24(3), pages 583-591, May.
- Cheung, Ka Chun & Yang, Hailiang, 2004. "Ordering optimal proportions in the asset allocation problem with dependent default risks," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 595-609, December.
- Lapan, Harvey E. & Hennessy, David A., 2004. "Cost Arrangement and Welfare in a Multi-Product Cournot Oligopoly," Staff General Research Papers 12207, Iowa State University, Department of Economics.
- Hennessy, David A. & Lapan, Harvey E., 2006.
"When Different Market Concentration Indices Agree,"
Staff General Research Papers
12550, Iowa State University, Department of Economics.
- repec:ebl:ecbull:v:7:y:2004:i:1:p:1-7 is not listed on IDEAS
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