Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation

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Portfolio selection with higher moments (2010, unknown): “…et al. (2009, 2010), Post et al. (2008), Bacmann and Benedetti (2009), Da Silva et al. (2009), Hall et al. (2009), Knight and Satchell (2009), Mencia and Sentana (2009), Morton and Popova (2009), Wilcox and Fabozzi (2009), Zhou (2009), Bali and Cakici (2010), Blau and Pinegar (2009), Brandt…”
Skewed distributions in finance and actuarial science: a review (2015, background): “The papers by Muralidhar (1993), DeFusco, Karels, and Muralidhar (1996), and Sun and Yan (2003) are also concerned with the evidence that skewness in asset returns may be a transient feature. In a notable paper, Singleton and Wingender (1986) consider the persistence of skewness using monthly return”