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.
- Language
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Englisch
- Bibliographic citation
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Series: Memorandum ; No. 2011,02
- Classification
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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
- Subject
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Portfolio separation
mutual fund theorem
stochastic dominance
singular extended skew-elliptical distributions
- Event
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Geistige Schöpfung
- (who)
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Framstad, Nils Chr.
- Event
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Veröffentlichung
- (who)
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University of Oslo, Department of Economics
- (where)
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Oslo
- (when)
-
2011
- Handle
- Last update
- 10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Framstad, Nils Chr.
- University of Oslo, Department of Economics
Time of origin
- 2011
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