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.

MoreLess

Year of publication:	2011
Authors:	Framstad, Nils Chr.
Publisher:	Oslo : University of Oslo, Department of Economics
Subject:	Portfolio separation \| mutual fund theorem \| stochastic dominance \| singular extended skew-elliptical distributions

More details

Series:	Memorandum ; 2011,02
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	646227181 [GVK] hdl:10419/47330 [Handle]
Classification:	G11 - Portfolio Choice ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; D53 - Financial Markets
Source:	EconStor

Persistent link: https://www.econbiz.de/10010285602