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Multivariate Location-scale Mixtures of Normals and Mean-variance-skewness Portfolio Allocation

Javier MencíaEnrique Sentana

出版	Banco de España, 2009
URL	http://books.google.com.hk/books?id=vML_XwAACAAJ&hl=&source=gbs_api

註釋

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.[Resumen de autor]