Portfolio Theory for α -Symmetric and Pseudoisotropic Distributions: k -Fund Separation and the CAPM
Author
Source
Journal of Probability and Statistics
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-12-01
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
The shifted pseudoisotropic 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 the Capital Asset Pricing Model under an embedding in L α condition if 1 < α ≤ 2 , with the betas given in an explicit form.
For the α -symmetric subclass, the market without risk-free investment opportunity admits 2 d -fund separation if α = 1 + 1 / ( 2 d - 1 ) , d ∈ N , generalizing the classical elliptical case d = 1 , and we also give the precise number of funds needed, from which it follows that we cannot, except degenerate cases, have a CAPM without risk-free opportunity.
For the symmetric stable subclass, the index of stability is only of secondary interest, and several common restrictions in terms of that index can be weakened by replacing it by the (no smaller) indices of symmetry/of embedding.
Finally, dynamic models with intermediate consumption inherit the separation properties of the static models.
American Psychological Association (APA)
Framstad, Nils Chr.. 2015. Portfolio Theory for α -Symmetric and Pseudoisotropic Distributions: k -Fund Separation and the CAPM. Journal of Probability and Statistics،Vol. 2015, no. 2015, pp.1-11.
https://search.emarefa.net/detail/BIM-1069985
Modern Language Association (MLA)
Framstad, Nils Chr.. Portfolio Theory for α -Symmetric and Pseudoisotropic Distributions: k -Fund Separation and the CAPM. Journal of Probability and Statistics No. 2015 (2015), pp.1-11.
https://search.emarefa.net/detail/BIM-1069985
American Medical Association (AMA)
Framstad, Nils Chr.. Portfolio Theory for α -Symmetric and Pseudoisotropic Distributions: k -Fund Separation and the CAPM. Journal of Probability and Statistics. 2015. Vol. 2015, no. 2015, pp.1-11.
https://search.emarefa.net/detail/BIM-1069985
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1069985