Portfolio Separation Properties of the Skew-Elliptical Distributions

Nils Framstad

No 02/2011, Memorandum from Oslo University, Department of Economics

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.

Keywords: Portfolio separation; mutual fund theorem; stochastic dominance; singular extended skew-elliptical distributions (search for similar items in EconPapers)
JEL-codes: C61 D53 D81 G11 (search for similar items in EconPapers)
Pages: 4 pages
Date: 2011-02-01
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Citations: View citations in EconPapers (2)

Published as Framstad, Nils, 'Portfolio Separation Properties of the Skew-Elliptical Distributions' in Statistics & Probability Letters, 2011, pages 1862-1866.

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