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https://hdl.handle.net/10419/47330
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Framstad, Nils Chr. | en |
dc.date.accessioned | 2011-07-01T08:43:28Z | - |
dc.date.available | 2011-07-01T08:43:28Z | - |
dc.date.issued | 2011 | - |
dc.identifier.uri | http://hdl.handle.net/10419/47330 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aUniversity of Oslo, Department of Economics |cOslo | en |
dc.relation.ispartofseries | |aMemorandum |x2011,02 | en |
dc.subject.jel | G11 | en |
dc.subject.jel | C61 | en |
dc.subject.jel | D81 | en |
dc.subject.jel | D53 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Portfolio separation | en |
dc.subject.keyword | mutual fund theorem | en |
dc.subject.keyword | stochastic dominance | en |
dc.subject.keyword | singular extended skew-elliptical distributions | en |
dc.title | Portfolio separation properties of the skew-elliptical distributions | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 646227181 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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