Portfolio separation properties of the skew-elliptical distributions, with generalizations

The two-fund separation property of the elliptical distributions is extended to the skew-elliptical case by adding a number of funds equaling the rank of the skewness matrix. The singular extended skew-elliptical distributions are covered, as is a further generalization to the case where the set conditioned upon is not an orthant.

MoreLess

Year of publication:	2011
Authors:	Framstad, N.C.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 12, p. 1862-1866
Publisher:	Elsevier
Subject:	Portfolio separation \| Mutual fund theorem \| Stochastic dominance \| Skew-elliptical distributions

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010571798