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  • 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. (xsd:string)
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?:dateModified
  • 2009 (xsd:gyear)
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  • 2009 (xsd:gyear)
?:doi
  • 10.1016/j.jeconom.2009.05.001 ()
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  • true (xsd:boolean)
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  • en (xsd:string)
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  • 2 (xsd:string)
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  • Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation (xsd:string)
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  • Zeitschriftenartikel (xsd:string)
  • journal_article (en)
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  • GESIS-SSOAR (xsd:string)
  • In: Journal of Econometrics, 153, 2009, 2, 105-121 (xsd:string)
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?:urn
  • urn:nbn:de:0168-ssoar-250864 ()
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  • 153 (xsd:string)