Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/47330
Authors: 
Framstad, Nils Chr.
Year of Publication: 
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

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