Portfolio Separation Properties of the Skew-Elliptical Distributions

The two fund separation property of the elliptical distributions is extended to the skew-elliptical and by adding a number of funds equalling the rank of the skewness matrix. Some elements of the generalization to singular extended skew-elliptical distributions are covered.

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Year of publication:	2011-02-01
Authors:	Christian Framstad, Nils
Institutions:	Økonomisk institutt, Universitetet i Oslo
Subject:	Portfolio separation \| mutual fund theorem \| stochastic dominance \| singular extended skew-elliptical distributions

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Extent:	application/pdf
Series:	Memorandum.
Type of publication:	Book / Working Paper
Notes:	Published as Framstad, Nils, 'Portfolio Separation Properties of the Skew-Elliptical Distributions' in Statistics & Probability Letters, 2011, pages 1862-1866. The text is part of a series Memorandum Number 02/2011 4 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D53 - Financial Markets ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008865954