Symmetry and order in the portfolio allocation problem

DOI10.1007/s001990100170zbMath1013.91051OpenAlexW2159517887MaRDI QIDQ1597937

Harvey E. Lapan, David A. Hennessy

Publication date: 4 June 2002

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001990100170

zbMATH Keywords

arrangement decreasing functionsmultivariate distribution of asset returnsordinal structure of optimal portfoliospermutation symmetric functionsportfolio allocation problem

Mathematics Subject Classification ID

Related Items (7)

Market demand elasticity and income inequality ⋮ When different market concentration indices agree ⋮ A note on allocation of portfolio shares of random assets with Archimedean copula ⋮ Ordering optimal proportions in the asset allocation problem with dependent default risks ⋮ Optimal portfolio problem with unknown dependency structure ⋮ Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks ⋮ Portfolio diversification and value at risk under thick-tailedness†

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