Scandinavian Working Papers in Economics

Memorandum,
Oslo University, Department of Economics

No 02/2011: Portfolio Separation Properties of the Skew-Elliptical Distributions

Nils Christian Framstad ()
Additional contact information
Nils Christian Framstad: Dept. of Economics, University of Oslo, Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway

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

JEL-codes: C61; D53; D81; G11

4 pages, February 1, 2011

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Published as
Nils Framstad, (2011), 'Portfolio Separation Properties of the Skew-Elliptical Distributions', Statistics & Probability Letters, vol 81, pages 1862-1866

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