Portfolio separation properties of the skew-elliptical distributions

Nils Chr. Framstad

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. -- Portfolio separation ; mutual fund theorem ; stochastic dominance ; singular extended skew-elliptical distributions

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Year of publication:	2011 ; Publisert 10. feb. 2011 10:53, Version: February 1, 2011
Authors:	Framstad, Nils Chr.
Publisher:	Oslo : Dep. of Economics, Univ. of Oslo
Subject:	Investmentfonds \| Investment Fund \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory

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Extent:	Online-Ressource (PDF-Datei: 4 S., 407,29 KB)
Series:	Memorandum / Department of Economics, University of Oslo. - Oslo : Department of Economics, University of Oslo, ISSN 0809-8786, ZDB-ID 2532549-8. - Vol. 2011,02
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat reader
Other identifiers:	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:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10008825359