Publication:
Multivariate extremality measure

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorLillo Rodríguez, Rosa Elvira
dc.contributor.authorRomo, Juan
dc.contributor.authorLaniado Rodas, Henry
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadísticaen
dc.date.accessioned2010-06-24T08:42:25Z
dc.date.available2010-06-24T08:42:25Z
dc.date.issued2010-06
dc.description.abstractWe propose a new multivariate order based on a concept that we will call extremality". Given a unit vector, the extremality allows to measure the "farness" of a point with respect to a data cloud or to a distribution in the vector direction. We establish the most relevant properties of this measure and provide the theoretical basis for its nonparametric estimation. We include two applications in Finance: a multivariate Value at Risk (VaR) with level sets constructed through extremality and a portfolio selection strategy based on the order induced by extremality.en
dc.format.mimetypeapplication/pdf
dc.identifier.repecws101908
dc.identifier.urihttps://hdl.handle.net/10016/8970
dc.language.isoengen
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometricsen
dc.relation.ispartofseries10-08en
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadísticaes
dc.subject.otherExtremalityen
dc.subject.otherOriented coneen
dc.subject.otherValue at risken
dc.subject.otherPortfolio selectionen
dc.titleMultivariate extremality measureen
dc.typeworking paper*
dspace.entity.typePublication
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