Portfolio Separation with -symmetric and Psuedo-isotropic Distributions
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References listed on IDEAS
- 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.
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KeywordsPortfolio separation; mutual fund theorem; stochastic dominance; pseudo-isotropic distributions; K-isotropic distributions;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-07 (All new papers)
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