Portfolio Separation Properties of the Skew-Elliptical Distributions

Nils Chr. Framstad

Memo 02/2011

Memo (pdf)

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.

Published June 20, 2014 1:46 PM - Last modified Jan. 24, 2019 11:44 AM