Gan, Quan - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 176-187
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...
