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Title:Portfolio separation properties of the skew-elliptical distributions PDF Logo
Authors:Framstad, Nils Chr.
Issue Date:2011
Series/Report no.:Memorandum // Department of Economics, University of Oslo 2011,02
Abstract: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.
Subjects:Portfolio separation
mutual fund theorem
stochastic dominance
singular extended skew-elliptical distributions
JEL:G11
C61
D81
D53
Document Type:Working Paper
Appears in Collections:Memorandum, Department of Economics, University of Oslo

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