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

DOI10.1016/J.SPL.2011.07.006zbMath1232.91619OpenAlexW2090834436MaRDI QIDQ645438

Nils Chr. Framstad

Publication date: 15 November 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.07.006

zbMATH Keywords

stochastic dominancemutual fund theoremportfolio separationskew-elliptical distributions

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)

Related Items (5)

Stein’s Lemma for generalized skew-elliptical random vectors ⋮ Skew-elliptical distributions with applications in risk theory ⋮ Some new results on value ranges of risks for mean-variance portfolio models ⋮ Some stability results of optimal investment in a simple Lévy market ⋮ A proof for the existence of multivariate singular generalized skew-elliptical density functions

Cites Work

• On the theory of elliptically contoured distributions
• A characterization of the distributions that imply mean-variance utility functions
• Mutual fund separation in financial theory - the separating distributions
• A generalization of the mutual fund theorem
• In which financial markets do mutual fund theorems hold true?
• Multivariate skew-normal distributions with applications in insurance
• Singular extended skew-elliptical distributions
• Metric spaces and completely monontone functions
• Statistical Applications of the Multivariate Skew Normal Distribution
• COHERENT PORTFOLIO SEPARATION — INHERENT SYSTEMIC RISK?
• A general class of multivariate skew-elliptical distributions

This page was built for publication: Portfolio separation properties of the skew-elliptical distributions, with generalizations