Linearity properties of a three-moments portfolio model
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Bibliographic InfoArticle provided by Springer in its journal Decisions in Economics and Finance.
Volume (Year): 23 (2000)
Issue (Month): 2 ()
Note: Received: 29 October 1999
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Web page: http://link.springer.de/link/service/journals/10203/index.htm
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- Mencía, Javier & Sentana, Enrique, 2009.
"Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation,"
Journal of Econometrics,
Elsevier, vol. 153(2), pages 105-121, December.
- Enrique Sentana & Javier Mencía, 2008. "Multivariate Location-Scale Mixtures Of Normals And Mean-Variance-Skwness Portfolio Allocation," Working Papers wp2008_0805, CEMFI.
- Javier Mencía & Enrique Sentana, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Banco de Espaï¿½a Working Papers 0909, Banco de Espa�a.
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