Portfolio Separation with -symmetric and Psuedo-isotropic Distributions

Nils Framstad

No 12/2011, Memorandum from Oslo University, Department of Economics

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 (search for similar items in EconPapers)
JEL-codes: C61 D53 D81 G11 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2011-04-28
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