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Portfolio Separation Properties of the Skew-Elliptical Distributions

Author

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  • Christian Framstad, Nils

    (Dept. of Economics, University of Oslo)

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.

Suggested Citation

  • Christian Framstad, Nils, 2011. "Portfolio Separation Properties of the Skew-Elliptical Distributions," Memorandum 02/2011, Oslo University, Department of Economics.
  • Handle: RePEc:hhs:osloec:2011_002
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    File URL: https://www.sv.uio.no/econ/english/research/unpublished-works/working-papers/pdf-files/2011/Memo-02-2011.pdf
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    References listed on IDEAS

    as
    1. Stephen A. Ross, 2005. "Mutual Fund Separation in Financial Theory—The Separating Distributions," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 10, pages 309-356, World Scientific Publishing Co. Pte. Ltd..
    2. Martin Kulldorff & Ajay Khanna, 1999. "A generalization of the mutual fund theorem," Finance and Stochastics, Springer, vol. 3(2), pages 167-185.
    3. Branco, Márcia D. & Dey, Dipak K., 2001. "A General Class of Multivariate Skew-Elliptical Distributions," Journal of Multivariate Analysis, Elsevier, vol. 79(1), pages 99-113, October.
    4. Owen, Joel & Rabinovitch, Ramon, 1983. "On the Class of Elliptical Distributions and Their Applications to the Theory of Portfolio Choice," Journal of Finance, American Finance Association, vol. 38(3), pages 745-752, June.
    5. Cass, David & Stiglitz, Joseph E., 1970. "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds," Journal of Economic Theory, Elsevier, vol. 2(2), pages 122-160, June.
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    Cited by:

    1. Saurabh Bansal & James S. Dyer, 2017. "Technical Note—Multivariate Partial-Expectation Results for Exact Solutions of Two-Stage Problems," Operations Research, INFORMS, vol. 65(6), pages 1526-1534, December.
    2. Shushi, Tomer, 2018. "A proof for the existence of multivariate singular generalized skew-elliptical density functions," Statistics & Probability Letters, Elsevier, vol. 141(C), pages 50-55.

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    More about this item

    Keywords

    Portfolio separation; mutual fund theorem; stochastic dominance; singular extended skew-elliptical distributions;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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