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Campo DC | Valor |
---|---|
dc.contributor.author | Mencía, Javier |
dc.contributor.author | Sentana, Enrique |
dc.date.accessioned | 2019-08-10T17:55:04Z |
dc.date.available | 2019-08-10T17:55:04Z |
dc.date.issued | 2009-06-02 |
dc.identifier.issn | ISSN: 0213-2710 (en papel) |
dc.identifier.issn | ISSN: 1579-8666 (en línea) |
dc.identifier.uri | https://repositorio.bde.es/handle/123456789/6988 |
dc.description.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 |
dc.format.extent | 51 p. : tab. |
dc.language.iso | eng |
dc.publisher | Banco de España |
dc.relation.ispartof | Documentos de Trabajo / Banco de España, 0909 |
dc.rights | Reconocimiento-NoComercial-CompartirIgual 4.0 Internacional (CC BY-NC-SA 4.0) |
dc.rights | In Copyright - Non Commercial Use Permitted |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/4.0/deed.es_ES |
dc.rights.uri | http://rightsstatements.org/vocab/InC-NC/1.0/ |
dc.subject | Generalised hyperbolic distribution |
dc.subject | Maximum likelihood |
dc.subject | Portfolio frontiers |
dc.subject | Sortino ratio |
dc.subject | Spanning tests |
dc.subject | Tail dependence |
dc.title | Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation |
dc.type | Documento de trabajo |
dc.identifier.bdebib | 000229553 |
dc.identifier.bdepub | DTRA-200909-eng |
dc.subject.bde | Modelos de series temporales |
dc.subject.bde | Modelización econométrica |
dc.subject.bde | Valoración de activos |
dc.publisher.bde | Madrid : Banco de España, 2009 |
dc.subject.jel | C52 |
dc.subject.jel | C32 |
dc.subject.jel | G11 |