Arbeitspapier
Portfolio separation properties of the skew-elliptical distributions
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Memorandum ; No. 2011,02
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Optimization Techniques; Programming Models; Dynamic Analysis
Criteria for Decision-Making under Risk and Uncertainty
General Equilibrium and Disequilibrium: Financial Markets
- Thema
-
Portfolio separation
mutual fund theorem
stochastic dominance
singular extended skew-elliptical distributions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Framstad, Nils Chr.
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Oslo, Department of Economics
- (wo)
-
Oslo
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Framstad, Nils Chr.
- University of Oslo, Department of Economics
Entstanden
- 2011
Ähnliche Objekte (12)
Classes of skew generalized hyperbolic secant distributions
Skew-symmetric distributions and Fisher information : The double sin of the skew-normal
Natural (non-)informative priors for skew-symmetric distributions
Portfolio separation with α-symmetric and psuedo-isotropic distributions
SKEW
"skew!
SKEW
Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns
tno sKEw | SKeW | s | 2002
SKEW "ZD*
SkeW
Tangency portfolio weights under a skew-normal model in small and large dimensions
Classes of skew generalized hyperbolic secant distributions
Skew-symmetric distributions and Fisher information : The double sin of the skew-normal
Natural (non-)informative priors for skew-symmetric distributions
Portfolio separation with α-symmetric and psuedo-isotropic distributions
SKEW
"skew!
SKEW
Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns
tno sKEw | SKeW | s | 2002
SKEW "ZD*
SkeW
Tangency portfolio weights under a skew-normal model in small and large dimensions
Classes of skew generalized hyperbolic secant distributions
Skew-symmetric distributions and Fisher information : The double sin of the skew-normal
Natural (non-)informative priors for skew-symmetric distributions
Portfolio separation with α-symmetric and psuedo-isotropic distributions
SKEW
"skew!
SKEW
Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns
tno sKEw | SKeW | s | 2002
SKEW "ZD*
SkeW