| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1152323 | Statistics & Probability Letters | 2011 | 5 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
N.C. Framstad,