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@article{ Mencía2009,
 title = {Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation},
 author = {Mencía, Javier and Sentana, Enrique},
 journal = {Journal of Econometrics},
 number = {2},
 pages = {105-121},
 volume = {153},
 year = {2009},
 doi = {https://doi.org/10.1016/j.jeconom.2009.05.001},
 urn = {https://nbn-resolving.org/urn:nbn:de:0168-ssoar-250864},
 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.},
}