|
| |
| 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 |
| |
| |
| Keywords: |
JEL:
D8 - Information, Knowledge, and Uncertainty: General |
| |
| Manuscript Received : Mar 18 2004 | | Manuscript Accepted : Apr 27 2004 |
|
