dc.contributor.author | Mencía, Javier | de |
dc.contributor.author | Sentana, Enrique | de |
dc.date.accessioned | 2011-05-13T02:55:00Z | de |
dc.date.accessioned | 2012-08-29T23:11:09Z | |
dc.date.available | 2012-08-29T23:11:09Z | |
dc.date.issued | 2009 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/25086 | |
dc.description.abstract | 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. | en |
dc.language | en | de |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Economics | en |
dc.subject.other | C52; C32; G11; Generalised hyperbolic distribution; Maximum likelihood; Portfolio frontiers; Sortino ratio; Spanning tests; Tail dependence | |
dc.title | Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Journal of Econometrics | de |
dc.source.volume | 153 | de |
dc.publisher.country | NLD | |
dc.source.issue | 2 | de |
dc.subject.classoz | Economic Statistics, Econometrics, Business Informatics | en |
dc.subject.classoz | Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik | de |
dc.identifier.urn | urn:nbn:de:0168-ssoar-250864 | de |
dc.date.modified | 2011-05-13T08:49:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.gesis.collection | SOLIS;ADIS | de |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | 3 | de |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.rights.copyright | f | de |
dc.source.pageinfo | 105-121 | |
internal.identifier.classoz | 10905 | |
internal.identifier.journal | 195 | de |
internal.identifier.document | 32 | |
internal.identifier.ddc | 330 | |
dc.identifier.doi | https://doi.org/10.1016/j.jeconom.2009.05.001 | de |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | CERTAIN_RETAINED | |