EconStor >
University of Oslo >
Department of Economics, University of Oslo >
Memorandum, Department of Economics, University of Oslo >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/47290
  
Title:Portfolio separation with α-symmetric and psuedo-isotropic distributions PDF Logo
Authors:Framstad, Nils Chr.
Issue Date:2011
Series/Report no.:Memorandum // Department of Economics, University of Oslo 2011,12
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.
Subjects:Portfolio separation
mutual fund theorem
stochastic dominance
pseudo-isotropic distributions
K-isotropic distributions
JEL:G11
C61
D81
D53
Document Type:Working Paper
Appears in Collections:Memorandum, Department of Economics, University of Oslo

Files in This Item:
File Description SizeFormat
655556648.pdf446.66 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/47290

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.