Portfolio Theory for α-Symmetric and Pseudoisotropic Distributions: k-Fund Separation and the CAPM
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 Lα condition if 1<α≤2,...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2015-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2015/235452 |
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