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Memorandum, Department of Economics, University of Oslo >
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| Title: | | Portfolio separation with α-symmetric and psuedo-isotropic distributions  |
| 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
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