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# f is the density of Y. Therefore, when unlimited short selling is

DOI link for f is the density of Y. Therefore, when unlimited short selling is

f is the density of Y. Therefore, when unlimited short selling is book

= x'E(z)

# f is the density of Y. Therefore, when unlimited short selling is

DOI link for f is the density of Y. Therefore, when unlimited short selling is

f is the density of Y. Therefore, when unlimited short selling is book

= x'E(z)

Byis a fund separation model whose optimal are given by the optimization problem (19) or equivalently, by the we can solve the optimization

Edition 1st Edition

First Published 2004

Imprint CRC Press

Pages 1

eBook ISBN 9780429223976

## ABSTRACT

E(zi) = i = z0 + bi,2 2 + bi ,3 3 where p for p = 1,2 are the risk premiums relative to a market factor and a skewness factor.

|x'b Y| sgn(x'b) Y x'z