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Portfolio Separation with -symmetric and Psuedo-isotropic Distributions

Author

Listed:
  • Chr. Framstad, Nils

    () (Dept. of Economics, University of Oslo)

Abstract

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.

Suggested Citation

  • Chr. Framstad, Nils, 2011. "Portfolio Separation with -symmetric and Psuedo-isotropic Distributions," Memorandum 12/2011, Oslo University, Department of Economics.
  • Handle: RePEc:hhs:osloec:2011_012
    as

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    File URL: https://www.sv.uio.no/econ/english/research/unpublished-works/working-papers/pdf-files/2011/memo-12-2011.pdf
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    References listed on IDEAS

    as
    1. Cass, David & Stiglitz, Joseph E., 1970. "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds," Journal of Economic Theory, Elsevier, vol. 2(2), pages 122-160, June.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Portfolio separation; mutual fund theorem; stochastic dominance; pseudo-isotropic distributions; K-isotropic distributions;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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