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%T Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation %A Mencía, Javier %A Sentana, Enrique %J Journal of Econometrics %N 2 %P 105-121 %V 153 %D 2009 %K C52; C32; G11; Generalised hyperbolic distribution; Maximum likelihood; Portfolio frontiers; Sortino ratio; Spanning tests; Tail dependence %= 2011-05-13T08:49:00Z %~ http://www.peerproject.eu/ %> https://nbn-resolving.org/urn:nbn:de:0168-ssoar-250864 %X 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. %C NLD %G en %9 journal article %W GESIS - http://www.gesis.org %~ SSOAR - http://www.ssoar.info