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- W3124620001 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." @default.
- W3124620001 created "2021-02-01" @default.
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- W3124620001 date "2009-12-01" @default.
- W3124620001 modified "2023-10-18" @default.
- W3124620001 title "Multivariate location–scale mixtures of normals and mean–variance–skewness portfolio allocation" @default.
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- W3124620001 doi "https://doi.org/10.1016/j.jeconom.2009.05.001" @default.
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