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David A. Hennessy
''Orthogonal Subgroups for Portfolio Choice''
( 2004, Vol. 7 No.1 )
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
D8 - Information, Knowledge, and Uncertainty: General
Manuscript Received : Mar 18 2004 Manuscript Accepted : Apr 27 2004

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