IDEAS home Printed from
   My bibliography  Save this paper

Symmetry and Order in the Portfolio Allocation Problem


  • Lapan, Harvey E.
  • Hennessy, David A.


This 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.

Suggested Citation

  • Lapan, Harvey E. & Hennessy, David A., 2002. "Symmetry and Order in the Portfolio Allocation Problem," Staff General Research Papers Archive 5106, Iowa State University, Department of Economics.
  • Handle: RePEc:isu:genres:5106

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    References listed on IDEAS

    1. Polemarchakis, H M, 1983. "On the Transer Paradox," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(3), pages 749-760, October.
    2. Abhijit V. Banerjee & Andrew F. Newman, 1991. "Risk-Bearing and the Theory of Income Distribution," Review of Economic Studies, Oxford University Press, vol. 58(2), pages 211-235.
    3. Kim C. Border & Joel Sobel, 1987. "Samurai Accountant: A Theory of Auditing and Plunder," Review of Economic Studies, Oxford University Press, vol. 54(4), pages 525-540.
    4. Stephen D. Williamson, 1987. "Costly Monitoring, Loan Contracts, and Equilibrium Credit Rationing," The Quarterly Journal of Economics, Oxford University Press, vol. 102(1), pages 135-145.
    5. O. Galor & H. M. Polemarchakis, 1987. "Intertemporal Equilibrium and the Transfer Paradox," Review of Economic Studies, Oxford University Press, vol. 54(1), pages 147-156.
    6. Andreoni, James, 1989. "Giving with Impure Altruism: Applications to Charity and Ricardian Equivalence," Journal of Political Economy, University of Chicago Press, vol. 97(6), pages 1447-1458, December.
    7. Oded Galor & Joseph Zeira, 1993. "Income Distribution and Macroeconomics," Review of Economic Studies, Oxford University Press, vol. 60(1), pages 35-52.
    8. Takatoshi Ito & Anne O. Krueger, 1992. "The Political Economy of Tax Reform, NBER-EASE Volume 1," NBER Books, National Bureau of Economic Research, Inc, number ito_92-2, January.
    9. Douglas W. Diamond, 1984. "Financial Intermediation and Delegated Monitoring," Review of Economic Studies, Oxford University Press, vol. 51(3), pages 393-414.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Hennessy, David A. & Lapan, Harvey, 2007. "When different market concentration indices agree," Economics Letters, Elsevier, vol. 95(2), pages 234-240, May.
    2. 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.
    3. Cheung, Ka Chun, 2006. "Optimal portfolio problem with unknown dependency structure," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 167-175, February.
    4. Lapan, Harvey E. & Hennessy, David A., 2004. "Cost Arrangement and Welfare in a Multi-Product Cournot Oligopoly," Staff General Research Papers Archive 12207, Iowa State University, Department of Economics.
    5. 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).
    6. Marat Ibragimov & Rustam Ibragimov, 2007. "Market Demand Elasticity and Income Inequality," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 32(3), pages 579-587, September.
    7. repec:ebl:ecbull:v:7:y:2004:i:1:p:1-7 is not listed on IDEAS
    8. 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.

    More about this item

    JEL classification:

    • 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

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:isu:genres:5106. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Curtis Balmer). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.