Scandinavian Working Papers in Economics

Memorandum,
Oslo University, Department of Economics

No 12/2011: Portfolio Separation with -symmetric and Psuedo-isotropic Distributions

Nils Chr. Framstad ()
Additional contact information
Nils Chr. Framstad: Dept. of Economics, University of Oslo, Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway

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.

Keywords: Portfolio separation; mutual fund theorem; stochastic dominance; pseudo-isotropic distributions; K-isotropic distributions

JEL-codes: C61; D53; D81; G11

7 pages, April 28, 2011

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