Portfolio separation properties of the skew-elliptical distributions, with generalizations

Nils Framstad

Statistics & Probability Letters, 2011, vol. 81, issue 12, 1862-1866

Abstract: The two-fund separation property of the elliptical distributions is extended to the skew-elliptical case by adding a number of funds equaling the rank of the skewness matrix. The singular extended skew-elliptical distributions are covered, as is a further generalization to the case where the set conditioned upon is not an orthant.

Keywords: Portfolio separation; Mutual fund theorem; Stochastic dominance; Skew-elliptical distributions (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2011.07.006

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