Orthogonal Subgroups for Portfolio Choice
The orthogonal group on the location-scale family is at the foundation of the stochastic structure underlying CAPM. Relaxing that assumption, we show how less restrictive matrix subgroup symmetries on the location-scale family of asset returns bound asset choices. Sign symmetry is a special case and provides conditions such that the investor does not sell short. Group-generated welfare orderings are also identified.
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|Date of creation:||01 Jan 2004|
|Date of revision:|
|Publication status:||Published in Economics Bulletin, January 2004, vol. 7, pp. 1-7|
|Contact details of provider:|| Postal: Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070|
Phone: +1 515.294.6741
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Web page: http://www.econ.iastate.edu
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- David A. Hennessy & Harvey E. Lapan, 2003. "An algebraic theory of portfolio allocation," Economic Theory, Springer, vol. 22(1), pages 193-210, 08.
- Chamberlain, Gary, 1983. "A characterization of the distributions that imply mean--Variance utility functions," Journal of Economic Theory, Elsevier, vol. 29(1), pages 185-201, February.
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