Portfolio Separation with α-symmetric and Pseudo-isotropic Distributions

Nils Chr. Framstad

Memo 12/2011

The shifted pseudo-isotropic multivariate distributions are shown to satisfy Ross' stochastic dominance criterion for two-fund monetary separation in the case with risk-free investment opportunity, and furthermore to admit CAPM under Lα-norm symmetry if α > 1. With no risk-free investment opportunity, the α = 1+1/(2d-1)-norm symmetric cases (any d ∈ N), are shown to admit 2d-fund separation, generalizing the well-known elliptical case d = 1.

Both discrete-time and continuous-time dynamic models with intermediate consumption are covered.

[v2] February 2013 Memo-pdf

Version history:

[v1] February 2011 Memo-pdf


Published June 20, 2014 1:58 PM - Last modified Jan. 24, 2019 11:43 AM