Orthogonal Subgroups for Portfolio Choice

David Hennessy

Economics Bulletin, 2004, vol. 7, issue 1, 1-7

Abstract: The orthogonal group on the location-scale family is at the foundation of the stochastic structure underlying CAPM. Relaxing that assumption, we show how less restrictive matrix subgroup symmetries on the location-scale family of asset returns bound asset choices. Sign symmetry is a special case and provides conditions such that the investor does not sell short. Group-generated welfare orderings are also identified

JEL-codes: D8 G0 (search for similar items in EconPapers)
Date: 2004-04-27
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Working Paper: Orthogonal Subgroups for Portfolio Choice (2004)
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