Weighted selection from elliptical distributions: a stochastic representation and an application to portfolio separation
Nils Chr Framstad
Abstract
We represent (weighted-)selection-elliptical distributions as an affine combination of the $q$ selection variables plus an elliptical term whose direction alone is independent. This form suffices for $q+2$ fund separation via first-order stochastic dominance, inter alia relaxing Simaan's (1993) three-fund assumptions.
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