Framstad, Nils Chr. - 2011 - Publisert 10. feb. 2011 10:53, Version: February 1, 2011
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...