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Persistent link: https://www.econbiz.de/10010486681
This paper analyzes the single period portfolio selection problem on the location-scale return family. The skew normal distribution, after recentering and reparameterization, is shown to be in this family. The recentered and reparameterized distribution, called factor-recentered skew normal, can...
Persistent link: https://www.econbiz.de/10013054884
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