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 (n.c.framstad@econ.uio.no)
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

Full text files

memo-12-2011.pdf PDF-file 
memo-12-2011-v1.pdf PDF-file Version 1

Download statistics

Questions (including download problems) about the papers in this series should be directed to Mari Strønstad Øverås (m.s.overas@econ.uio.no)
Report other problems with accessing this service to Sune Karlsson (sune.karlsson@oru.se).

RePEc:hhs:osloec:2011_012This page generated on 2024-09-13 22:16:45.