Location-scale portfolio selection with factor-recentered skew normal asset returns

DOI10.1016/j.jedc.2014.09.002zbMath1402.91696OpenAlexW3122618829MaRDI QIDQ1991942

Quan Gan

Publication date: 2 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2014.09.002

zbMATH Keywords

certainty equivalentportfolio selectionnon-monotonicityfactor modelskew normal

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Preferences over location-scale family
• Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
• Portfolio selection in multidimensional general and partial moment space
• Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
• Portfolio selection with higher moments
• Statistical Applications of the Multivariate Skew Normal Distribution
• Portfolio Selection and Asset Pricing—Three-Parameter Framework
• The multivariate skew-normal distribution
• Some Inequalities on Mill's Ratio and Related Functions
• A general class of multivariate skew-elliptical distributions

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