文章基本信息

标题：From Normal vs Skew-Normal Portfolios: FSD and SSD Rules
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作者：Francesco Blasi ; Sergio Scarlatti
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2012
卷号：2
期号：1
页码：90-95
DOI：10.4236/jmf.2012.21011
出版社：Scientific Research Publishing
摘要：In this paper we study stochastic dominance rules of first and second order for univariate skew-normal random variables, the analysis being relevant in connection with the problem of portfolio choice in stock markets showing departure from the classical assumption of normality on returns. Besides that, our analysis is also relevant for markets where stocks returns are normally distributed: if standard derivatives are tradable and straddles, characterized by V-shaped pay-outs, are implementable at specific strike prices, then, portfolios including them, can exhibit exact skew-normality in their returns. We provide a set of simple conditions on the statistical parameters of the distributions which imply FSD and SSD and discuss some application of our criteria.
关键词：Normal Distribution; Skew-Normal Distribution; Mixture Distributions; Stochastic Ordering; Stochastic Dominance; Portfolio Selection; Derivatives; Straddles