Synapse
⌘+K
Synapse
PulseExploreJournal ClubResearchersJournals
Instagram
HomeJournal ClubExplore
August 1, 2026Open Access

Structural Limits of Ellipticity: Obstructions to Mean–Variance Sufficiency in Financial Markets

View Full Paper
Ask AI
Bookmark
Share

Authors

MAMiquel Noguer Alonso

Discussion

Loading...

Member takes

Overview

Analyzes the limitations of ellipticity in financial markets, revealing implications for risk assessment and portfolio management.

Key Points

  • The aim is to explore the structural limitations of ellipticity in financial portfolios and identify scenarios where typical assumptions fail.
  • Analyzed various settings affecting joint ellipticity and mean-variance analysis.
  • Developed exact tests for central symmetry and radial-angular independence with known parameters.
  • Applied findings to United States equity portfolios from 1949 to 2017, testing for structural limitations.
  • Identified a mirror bound from limited liability and symmetry that conflicts with observed asset returns.
  • Classified conditions under which mixtures remain elliptical, excluding nontrivial location switching for Gaussian regimes.
  • Rejected central symmetry across various portfolio combinations after Holm correction.

Cite This Study

Miquel Noguer Alonso (2026) studied this question.

synapsesocial.com/papers/6a6d9874e258b358b3c6bd95https://doi.org/10.5281/zenodo.21708758
View Full Paper
Ask AI
Bookmark
Share