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Portfolio Separation with -symmetric and Psuedo-isotropic Distributions

Author

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  • 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
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    References listed on IDEAS

    as
    1. Stephen A. Ross, 2005. "Mutual Fund Separation in Financial Theory—The Separating Distributions," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 10, pages 309-356, World Scientific Publishing Co. Pte. Ltd..
    2. Eugene F. Fama, 1965. "Portfolio Analysis in a Stable Paretian Market," Management Science, INFORMS, vol. 11(3), pages 404-419, January.
    3. Owen, Joel & Rabinovitch, Ramon, 1983. "On the Class of Elliptical Distributions and Their Applications to the Theory of Portfolio Choice," Journal of Finance, American Finance Association, vol. 38(3), pages 745-752, June.
    4. Martin Kulldorff & Ajay Khanna, 1999. "A generalization of the mutual fund theorem," Finance and Stochastics, Springer, vol. 3(2), pages 167-185.
    5. 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.
    6. Jasiulis, B.H. & Misiewicz, J.K., 2008. "On the connections between weakly stable and pseudo-isotropic distributions," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2751-2755, November.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Portfolio separation; mutual fund theorem; stochastic dominance; pseudo-isotropic distributions; K-isotropic distributions;
    All these keywords.

    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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