Portfolio separation properties of the skew-elliptical distributions, with generalizations |
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| Authors: | NC Framstad |
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| Institution: | Department of Economics, University of Oslo, P.O. Box 1095 Blindern, NO-0317 Oslo, Norway;Financial Supervisory Authority of Norway (Finanstilsynet), P.O. Box 1187 Sentrum, NO-0107 Oslo, Norway1 |
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| 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. |
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| Keywords: | MSC: 91G10 91G80 60E05 49K45 |
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