Sentana, Enrique; Mencía, Javier - Centro de Estudios Monetarios y Financieros (CEMFI) - 2008
We show that the distribution of any portfolio whose components jointly follow a location-scale mixture of normals can be characterised solely by its mean, variance and skewness. Under this distributional assumption, we derive the mean-varianceskewness frontier in closed form, and show that it...