کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096724 1376546 2009 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
چکیده انگلیسی
We show that the distribution of any portfolio whose components jointly follow a location-scale mixture of normals can be characterised solely by its mean, variance and skewness. Under this distributional assumption, we derive the mean-variance-skewness frontier in closed form, and show that it can be spanned by three funds. For practical purposes, we derive a standardised distribution, provide analytical expressions for the log-likelihood score and explain how to evaluate the information matrix. Finally, we present an empirical application in which we obtain the mean-variance-skewness frontier generated by the ten Datastream US sectoral indices, and conduct spanning tests.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 153, Issue 2, December 2009, Pages 105-121
نویسندگان
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