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PreprintarXiv licencearXiv

Weighted selection from elliptical distributions: a stochastic representation and an application to portfolio separation

  • Nils Chr Framstad
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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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Cite

BibTeXRIS
BibTeX
@misc{framstad2026weighted,
  title = {{Weighted selection from elliptical distributions: a stochastic representation and an application to portfolio separation}},
  author = {Nils Chr Framstad},
  howpublished = {arXiv},
  year = {2026},
  month = oct,
  doi = {10.48550/arxiv.2610.11822},
  eprint = {2610.11822},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2610.11822},
}
RIS
TY  - UNPB
TI  - Weighted selection from elliptical distributions: a stochastic representation and an application to portfolio separation
AU  - Nils Chr Framstad
PY  - 2026
DA  - 2026/10/08
PB  - arXiv
DO  - 10.48550/arxiv.2610.11822
UR  - https://arxiv.org/abs/2610.11822
AB  - 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.
ER  -