文章基本信息

标题：Orthogonal Subgroups for Portfolio Choice
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作者：David A. Hennessy
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2004
卷号：7
出版社：Economics Bulletin
摘要：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