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- W2004966713 abstract "This paper analyzes the single period portfolio selection problem on the location-scale return family. The skew normal distribution, after recentering and reparameterization, is shown to be in this family. The recentered and reparameterized distribution, called factor-recentered skew normal, can be expressed as a skew factor model which is characterized by a location parameter and two scale parameters. Risk preference on scale parameter is non-monotonic and risk averse investors prefer larger (smaller) scale when the scale is negative (positive). The three-parameter efficient set is a part of conical surface bounded by two lines. Positive-skewness portfolios and negative-skewness portfolios do not coexist in the efficient set. Numerical cases under constant absolute risk aversion are analyzed with its closed-form certainty equivalent. An asset pricing formula which nests the CAPM is obtained." @default.
- W2004966713 created "2016-06-24" @default.
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- W2004966713 date "2014-01-01" @default.
- W2004966713 modified "2023-09-27" @default.
- W2004966713 title "Location-Scale Portfolio Selection with Factor-Recentered Skew Normal Asset Returns" @default.
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- W2004966713 doi "https://doi.org/10.2139/ssrn.2430006" @default.
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